||This paper is discussing problems that emerged in the first wave of the voucher privatization in Czechoslovakia (January 1992). The first problem relates to the procedures for evaluation and approval of enterprises’ privatization projects. The original design of the privatization assumed a very quick mass distribution of state property through the voucher method. It was expected that the privatization projects would be simple, with virtualy all the property going to vouchers, and that it would be easy to evaluate them quickly. Only after the first round of voucher privatization started the rules for submitting privatitzation projects were changed and as a result thousands of competing projects began to emerge. The thorough evaluation of them would require an immeasurable amount of work. The following lesson follows from this experience for the second wave of privatization: hold to an originally agreed upon strategy and do not change the rules during the game. A second important set of problems is caused by unclear rules for the attainment of equilibrium between supply and demand during the first wave of voucher privatization. A full knowledge of this algorithm is very important for investors' choice of a successful strategy. The final set of problems is the absence of the law on investment companies and on securities trading. That creates at least two serious problems. The first is the protection of the small investor against the abuse of power by the strong investment funds' administrators. The second important problem is that the fund administrators and advisers will not be able to choose an optimal investment strategy as long as they do not know what rules will be set during the course of the privatization process or after its termination. Perhaps the most important lesson comes from the acknowledged fact that the best protection of the small investor is the increasing competition between funds.