The theoretical relationship between investment and uncertainty is ambiguous. This paper briefly surveys the insights that theory has to offer and then runs a series of simple tests aimed at evaluating the empirical significance of various theoretical effects. The authors' results from a panel of U.S. manufacturing firms indicate a negative effect of uncertainty on investment consistent with theories of irreversible investment. They find no evidence for a positive effect via the channel of the convexity of the marginal product of capital and find no evidence for the presence of a CAPM-based effect of risk. Copyright 1996 by Ohio State University Press.