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CBS 2's Mike Puccinelli, Mai Martinez, Suzanne Le Mignot, and the Associated Press, contributed to this report.
CHICAGO (CBS) ― A car and other property belonging to a woman who has been missing for four days was found southeast of Chicago Saturday.

Chicago Police News Affairs Director Monique Bond said Nailah Franklin's company-issued car was found Saturday morning near an abandoned building in Hammond, Ind. The 2005 Chevrolet Impala was to be towed to Chicago so investigators can search it for evidence.

Earlier, Franklin's family members said some of her personal belongings had been scattered near her car. Franklin's sister, Lehia Franklin Acox, says she doesn't know of any reason her sister might have been in Hammond.

Dive teams on Saturday searched a pond in the River Oaks Golf Course near Calumet City, but nothing was found. Chicago police said multiple jurisdictions have been involved in the search.

Franklin, 28, of the University Village neighborhood, was last heard from on Tuesday.

Her family and friends, along with police, have been conducting a massive search and scrambling to get the word out.

"We, of course, are waiting with bated breath, and hoping that something breaks soon," Franklin's sister, Lehia Franklin Acox. "The bottom line for us is that we want Nailah found safe, and alive and well, and returned to us."

But there are worries that Franklin might have been the victim of foul play.

"I believe she's alive, but I know she's not OK, meaning that this is not her choice to be missing, so she's going to need some support and some healing, and our whole family is going through this – we're really just devastated, everybody," Franklin Acox said.

The family of the 28-year-old Eli Lilly pharmaceutical representative says she is always in constant contact, especially by text message. The last message she sent was Tuesday night, saying she was at dinner and would call later. No one has heard from her since.

Police are talking with several people with whom Franklin has had relationships. Sources say one of them has a history of making threats to other women. A week before she vanished Franklin had filed a report with police about a man she had dated, claiming he was threatening her by phone.

"She had already had contact with a detective of our agency, who was in constant contact with her giving her advice," said Sgt. Virginia Zic-Schlomas of the Harrison Area Special Victims Unit.

Among the advice was to file a restraining order against the man.

Franklin's friend Dana McClellan said the message contained the following: "Basically 'I could do harm to you. You haven't seen that side of me, but I do have a bad side and I could do harm to you.'"

Franklin's sister went to the Harrison Area police headquarters Friday morning to talk to detectives about the case. She said detectives called her and asked her to come in.

Police say they still have confidence Franklin will be found.

"I'm still hoping there's a positive outcome in the results of all this," Zic-Schlomas said.

Two computers are also missing from Franklin's home: a personal laptop and one she used for her work with Eli Lilly.

Franklin is 5 feet 2 inches, 115 pounds, with brown eyes and brown hair.

Eli Lilly is also involved in the investigation since one of their employees and a company computer are missing.

"This is someone who just had everything to live for; she was at the top of her game professionally; she bought two condos on her own as a single woman; she dotes on her niece, my daughter; she's just a person who is very connected with the people she cares about," Franklin's sister said. "This is so out of character."

A prayer vigil for Franklin was held at 6 p.m. at the Little Gym, at 704 W. Maxwell St. on Saturday. Friends and loved ones of Nailah Franklin marched down Maxwell Street carrying a banner emblazoned with Franklin's smiling face.

"We don't know if she's hurt," said Erwin Acox, Nailah's brother-in-law. "We don't know if she's being held against her will."

But they do know that they love and miss the 28-year-old Chicago woman who's been missing since Tuesday.

So Saturday night, they showed that love, one step at a time, marching down Halsted to Sangamon to the building where Nailah lives and where she was last seen. Her sister fears something bad has happened.

"I know something is not OK -- this is not her choice to be missing," said Franklin's sister.

Franklin's sister says family and friends are trying to stay positive and keep up their spirits. So Saturday within a circle of candlelight they did what they could in her absence.

Singing together and crying in each others arms, Franklin's family is united in hope that some day soon Nailah will once again come home.

If you have any information about the case, police ask that you call (312) 746-9259.

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