Are you using Windows 8.0?
Which model of the external hard disc are you using?
Are you using USB 3.0?
Do you notice that Serato wants to play parts of the WAV file which are not loaded?
Did you try another external hard disc model?
Did you try connecting via an USB 2.0 cabel instead of USB 3.0?
Maybe you can turn on the Windows event log handler when you start a WAV file from the external hard drive and do you see any USB 3.0 errors e.g. "resetting the drive"?
I had problems with Lacie 4 TB drive which supports UASB. Not easy to identify if UASB is supported because they add the feature silently.
It looks like a bug in USB 3.0 driver implemented in Windows 8.0 - in case you have the same problems as I have/had.