The aim of this paper is to provide empirical evidence on the statistical distributions of returns on 32 UK sector indices as well as the FTSE-All and the FTSE-100 indices. These data are modelled for several holding periods, ranging from one day to one quarter, using symmetric stable Paretian distributions and their characteristic exponents are estimated. Numerical results suggest that both short and long horizon returns are non-normal and that deviation from normality is stronger for short horizon returns, with the exception of few sectors. In sum, these results suggest that asset pricing and risk management models, among others, should be modified to take into account departures form normality. © 2005 Taylor & Francis Group Ltd.