This study presents the results of empirical tests on the relationships between average stock returns and various measures of risk in two of the most important emerging Asian stock markets, Korea and Taiwan, over the period 1980-88. The findings show that the applicability of CAPM seems weak in both markets, particularly in Taiwan. In some subperiods, total risk appears to be a better risk measure in both markets. A comparison with other studies on Hong Kong and Singapore reveals that the inapplicability of the CAPM on emerging Asian markets is rather common. Copyright © 1993 Taylor & Francis Group, LLC. All rights reserved.