It is the aim of this paper to investigate the distributional nature of the day-ahead electricity price returns. More specically, one asks whether electricity returns display heavy tails and skewness, and whether the central moments diverge; one also investigates the time scaling of risk and possible intradaily dierences in distributional shapes. Answers to these research questions are sought by comparing the goodness-of-t performances of the α-stable, the Normal Inverse Gaussian (NIG), the Exponential Power (EP) and the Asymmetric Exponential Power (AEP) distribution laws. e data are drawn from major European power exchanges, such as the Scandinavian NordPool, the Dutch APX and the French Powernext. We focus on one-day returns computed on prices of individual hours, which allow us to obtain a grasp on the intraday risk patterns.