Fisher randomization tests for Neyman's null hypothesis of no average treatment effects are considered in a finite population setting associated with completely randomized experiments with more than two treatments. The consequences of using the F statistic to conduct such a test are examined both theoretically and computationally, and it is argued that under treatment effect heterogeneity, use of the F statistic in the Fisher randomization test can severely inflate the type I error under Neyman's null hypothesis. An alternative test statistic is proposed, its asymptotic distributions under Fisher's and Neyman's null hypotheses are derived, and its advantages demonstrated. [This is the online version of an article published in "Biometrika."]