The goal of this paper is to propose new methods to measure the effective exposure to country risk of emerging-market companies. Starting from Damodaran (2003), we propose three new approaches: the “Prospective Lambda”, the “Retrospective Lambda” and the “Company Effective Risk Premium”. We tested our new measures of a company’s exposure to country risk on Brazilian companies listed on the Bovespa Index. The results confirm that the new approaches can be effectively applied to stable-growth companies, providing with a more reliable estimate of the premium effectively requested by investors in the past. Applying the new approaches, the cost of equity reflects the effective exposure of a company to country risk without being over- or underestimated, as is the case with other existing approaches.