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If you use $(1+x^2)^{-a}=\sum_{n\geq 0} (-1)^n \binom{n+a-1}a x^{2n}$ and then take moments, it seems like you get a wildly oscillating series. And yet your expectations appear to be real numbers that converge to $0$ as $a$ grows.
@Dirk It was not an objection, but a comment. IMHO the question is defective. It is meaningless to talk about randomness when there is no specified distribution.