This study investigates the role of higher co-moments in explaining stock returns in the China and UK stock markets. In China, investors price only coskewness risk, while UK investors price both coskewness and cokurtosis risks. China investors use a two-year window period to evaluate coskewness risk, while UK investors utilize a five-year window period to evaluate. In addition, the significant coskewness risk premium in China is driven mainly by the sub-period after the split share structure reform. We argue that differences in market infrastructure and stage of development contribute to explaining the different higher co-moments pricing behavior in the two markets.