We investigate the pricing role of co-skewness using stock level data from 21 financial markets globally. We find that co-skewness with the local, regional, and world market returns all have significant negative effects on the expected return. The results are robust after controlling for well documented pricing factors such as size, value, profitability, investment, momentum, and liquidity. In addition, market attributes related to the development level and stability, information environment, institutional ownership and cultural characteristics have profound influences on the cross-market co-skewness premium variations. Finally, the co-skewness effects are more pronounced when the investors’ perceived uncertainty and volatility level are high.