I document the effects of macroeconomic and sector-specific shocks on investment in disaggregate sectoral capital expenditure data. The response of sectoral investment to macroeconomic shocks is hump-shaped, just as in aggregate data. By contrast, the effects of sector-specific innovations are monotonically decreasing. I build and calibrate a model of investment with convex capital adjustment costs and rational inattention to explain these features of the data. The model matches the empirical responses of sectoral investment to both shocks.