Test of tbe random Walk Market index results for a four-week base observation period lumber g of base observations aggregated o form variance ratio Time period observations 16 A. Equal-weighted CRSP NYSE-AMEX index 1.30 1.30 740501 152 (1.68) B, Value-weighted CRSP NYSE-AMEX index (0. 620906-740501 740502851226 52 Variance-ratio test of the random walk hypothesis for CRSP equal- and value-weighted indexes, wariked waitho asterisks tnd icat s that ihe corresponding variance ratios are statistically different from i at the 5 percent level of significance aMEX universe on the CrsP daily returns file. Stocks with returns for any given week are assigned to portfolios based on which quintile their market value of equity is in. The portfolios are equal-weighted and have a con tinually changing composition, 16 The number of stocks included in the portfolios varies from 2036 to 2720 Table 2 reports the M, ( q) test results for the size-based porttolios, using a base observation period of one week. Panel a reports the results for the portfolio of small firms(first quintile), panel B reports the results for the ortfolio of medium-size firms(third quintile), and panel C reports the results for the portfolio of large firms(fifth quintile). Evidence against the random walk hypothesis for small firms is strong for all time periods con sidered; in panel A all the z*(q) statistics are well above 2.0, ranging from 6.12 to 11.92. As we proceed through the panels to the results for the portfolio of large firms, the z*(q) statistics become smaller, but even for the large-firms portfolio the evidence against the null hypothesis is strong As in the case of the returns indexes, we may obtain estimates of the first order autocorrelation coefficient for returns on these size-sorted portfolios simply by subtracting 1 from the entries in the q=2 column. The values not rejected. This, of course, is not s]grhfresi portfolio, for which the random weighted quintile is quite similar to the value-weighted market index 53