This paper uses panel data for manufacturing firms from Lower Saxony to shed light on the micro-structure of investment dynamics. It looks at seven two-year periods from 1995/96 to 2001/02. Important findings include: Many firms invest in one of two years only. However, the largest part of change in investment from year to year is due to firms which increase or decrease investment. Even in periods of pronounced increase (decrease) of investment in manufacturing as a whole there are many firms with decreasing (increasing) investment. Firms with increasing or decreasing investment coexist in every period in parts of manufacturing defined by product group, technology intensity, or size class. Even in periods of small net changes in investment at the macro level there are huge positive and negative gross changes at the micro level. There simply is no such thing as a representative firm – theoretical models should abandon this construct, and should model the behaviour of heterogeneous firms instead.