We used acoustic telemetry to describe the patterns of vertical movement, site fidelity and residency of grey reef sharks (Carcharhinus amblyrhynchos) on the outer slope of coral reefs in Palau, Micronesia, over a period of two years and nine months. We tagged 39 sharks (mostly adult females) of which 31 were detected regularly throughout the study. Sharks displayed strong inter-annual residency with greater attendance at monitored sites during summer than winter months. More individuals were detected during the day than at night. Mean depths of tagged sharks increased from 35 m in winter to 60 m in spring following an increase in water temperature at 60 m, with maximum mean depths attained when water temperatures at 60 m stabilised around 29°C. Sharks descended to greater depths and used a wider range of depths around the time of the full moon. There were also crepuscular cycles in mean depth, with sharks moving into shallower waters at dawn and dusk each day. We suggest that daily, lunar and seasonal cycles in vertical movement and residency are strategies for optimising both energetic budgets and foraging behaviour. Cyclical patterns of movement in response to environmental variables might affect the susceptibility of reef sharks to fishing, a consideration that should be taken into account in the implementation of conservation strategies. © 2013 Vianna et al.