diff --git a/betfair_parser/stream.py b/betfair_parser/stream.py
index 9104f51..0cb059b 100644
--- a/betfair_parser/stream.py
+++ b/betfair_parser/stream.py
@@ -177,6 +177,8 @@ def iter_changes(self, stream: io.RawIOBase) -> Iterable[ChangeMessageType]:
 
         while True:
             msg = self.esm.receive(stream)
+            if not msg:
+                return
             if isinstance(msg, ChangeMessageType):  # type: ignore[arg-type,misc]
                 yield msg
 
@@ -191,6 +193,8 @@ def iter_changes_and_write(
         with open(path, "ab") as f:
             while True:
                 raw_msg = stream.readline()
+                if not raw_msg:
+                    return
                 msg = self.esm.receive_bytes(raw_msg)
                 if isinstance(msg, ChangeMessageType):  # type: ignore[arg-type,misc]
                     yield msg
@@ -268,6 +272,8 @@ async def iter_changes_async(self, stream: AsyncStream) -> AsyncGenerator[Change
 
         while True:
             msg = self.esm.receive_bytes(await stream.readline())
+            if not msg:
+                return
             if isinstance(msg, ChangeMessageType):  # type: ignore[arg-type,misc]
                 yield msg
 
@@ -283,6 +289,8 @@ async def iter_changes_and_write_async(
         with open(path, "ab") as f:
             while True:
                 raw_msg = await stream.readline()
+                if not raw_msg:
+                    return
                 msg = self.esm.receive_bytes(raw_msg)
                 if isinstance(msg, ChangeMessageType):  # type: ignore[arg-type,misc]
                     yield msg