In spite of the rise of China and its currency, the currency risk of Chinese firms has not been studied adequately. In this paper we document for the first time that the stock returns of Chinese firms are significantly exposed to currency risks with many firms benefiting from the rise of the Yuan. Further, the magnitudes of the currency risk coefficients for Chinese companies (<10%) are smaller than those previously documented for other countries (20-40%). However, our results also indicate that Chinese export firms are exposed to significant risk related to the ASEAN currency index. Yuan appreciation also impacts exporters to India, Australia and Russia in some industries. The results documented in this study should be of much interest to managers, scholars, and policy-makers.