We investigate the role of co-skewness in pricing stock returns in theChinese and U.S. markets. In both markets, co-skewness is priced witha negative premium. The annualized factor-adjusted co-skewness effect is−7.98% in China and−3.53% in the U.S. The negative co-skewness effectcoexists with other higher-moment-related pricing effects. Through twonatural experiments in the Chinese and U.S. markets, wefind that animprovement in the information environment greatly enhances the co-skewness pricing effect in both markets. Furthermore, wefind that thegovernance structure and the efficiency level are the main determinantsof the co-skewness premium in the Chinese market.