The goal of this study is to evaluate the importance of skewness in investor utility when predicting stock market return by financial ratio variable. We use the daily time series of four major stock market indices of Shanghai Stock Exchanges and Shenzhen Stock Exchanges. We find evidence of predictability of price-to-earnings ratio and price-to-book ratio on the market returns. Using the evidence of predictability, we find evidence that including skewness leads higher utility. The comparison among different ways to calculate the skewness indicate the calculation method mostly used in popular statistical software may lead to the highest utility.