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One of the major points of contention in studying and modelling financial returns is whether or not the variance of the returns is finite or infinite (sometimes referred to as the Bachelier–Samuelson Gaussian world versus the Mandelbrot stable world). A different formulation of the question asks how heavy the tails of the financial returns are. The available empirical evidence can be, and has been, interpreted in more than one way. The apparent paradox, which has puzzled many a researcher, is that the tails appear to become less heavy for less frequent (e.g. monthly) returns than for more frequent (e.g. daily) returns, a phenomenon not easily explainable by the standard models. Inspired by the prelimit theorems of Klebanov, Rachev and Szekely and Klebanov, Rachev and Safarian , we provide an explanation of this paradox. We show that, for financial returns, a natural family of models are those with tempered heavy …