Is anti-herding behavior spurious?

Herding behavior has been in the epicenter of a heated debate over the past three decades across traditional and alternative asset markets. Establishing the existence of herding relies on a standard regression-based testing procedure. Employing Monte Carlo simulations we show that spurious anti-herding behavior might emerge even if the series are random and totally un-correlated, provided that the residuals of the model fail to conform to some of the assumptions of standard linear regression. The simulations from a t-student distribution are examined as a function of the degrees of freedom, the length of the simulations, and the number of series.