This special project studied the exchange rate exposure and the determinants of the exchange rate exposure from 367 listed firms in the stock exchange of Thailand (SET) between January 2008 and May 2012. The study found that most firms had cost exposure. That is, firms in SET benefited from the appreciation of Thai Baht against the United States Dollar. Furthermore, the study found that the level of firm exposure is significantly negatively related to quick ratio and profit margin, and positively related to firm size, debt-to-equity ratio and foreign-sales-to-total-sales ratio. The results from this special project have important implication for managers, policy maker and investor in the stock exchange of Thailand.