This paper examines the relationship between investment and uncertainty, a topic that has been ambiguous in theoretical literature. The authors use a panel of U.S. manufacturing firms to test various theoretical effects and find that uncertainty has a negative impact on investment, consistent with theories of irreversible investment. They find no evidence for a positive effect through the convexity of the marginal product of capital or through the CAPM-based effect of risk. The results suggest that the most likely explanation for the relationship between investment and uncertainty is irreversibility, where uncertainty directly affects investment without mediating through covariances. The study contributes to the understanding of how firms respond to economic uncertainty and provides insights into the broader implications for economic policy and theory.This paper examines the relationship between investment and uncertainty, a topic that has been ambiguous in theoretical literature. The authors use a panel of U.S. manufacturing firms to test various theoretical effects and find that uncertainty has a negative impact on investment, consistent with theories of irreversible investment. They find no evidence for a positive effect through the convexity of the marginal product of capital or through the CAPM-based effect of risk. The results suggest that the most likely explanation for the relationship between investment and uncertainty is irreversibility, where uncertainty directly affects investment without mediating through covariances. The study contributes to the understanding of how firms respond to economic uncertainty and provides insights into the broader implications for economic policy and theory.