Learning something in general and studying for an exam are two very different things.
When you study for an exam, the goal is generally to pass the exam - not to master the subject. Thus, to path of least resistance is to pick the brain of the professor, tailor your answers to his expectations, and cram all the necessary info into your short term memory.
Such an approach will ensure you pass the exam, but it won't help you retain much useful information in the long term. A big part of exam stress is caused by confusing the long term goal (mastering the subject) and the short term goal (passing the exam) - clarify your priorities.
To reduce exam stress, relax as much as you can before studying (both physically and mentally). Your goal is too run as much data through your brain as you possibly can. Your subconscious mind is better at retaining mass amount of data - put it to work. In the long term conscious understanding converts data into information, but in the short term questioning unclarities and inaccuracies might interfere with presenting your knowledge to others in the form it is expected of you.
The key to handling exam stress is to understand the process, do all you can, and not worry or even care too much. Stressing out reduces your mental capabilities and is counter-productive - be confident in your abilities.