The skewness of the ret distribution is one of the important features of the security price. In this paper, the authors try to explore the relationship between the skewness and the coefficient of risk premium. The coefficient of the risk premium is estimated by a GARCH-M model, and the robust measurement of skewness is calculated by Groeneveld-Meeden method. The empirical evidences for the composite indexes from 33 securities markets in the world indicate that the risk compensation requirement in the market where the ret distribution is positively skewed is virtually zero, and the risk compensation requirement is positive in a significant level in the market where the ret distribution is negative skewed. Moreover, the skewness is negatively correlated with the coefficient of the risk premium.