In this paper we document the extent of cross-sectoral variation in firm-level idiosyncratic risk and shed light on its determinants. Our data is from the U.S. Census Bureau's Longitudinal Research Database. We find that firms producing investment goods exhibit greater volatility in sales and TFP growth than firms producing consumption goods. Our data suggests that this may be the case because winner-takes-all competition is more common for the former than for the latter.