The average capital growth rate across firms declines sharply during a recession, and recovers only slowly. We provide a micro-founded explanation for this and several new stylized facts of investment asymmetry. Our investment model features various degrees of reversibility, cyclical macroeconomic shocks, and uncertainty about the state of the economy. Model simulations replicate strikingly different empirical patterns of capital growth rates at the aggregate and firm levels, featuring no slope asymmetry and a positive level asymmetry at the firm level, negative slope and level asymmetries at the aggregate level, and a positive relation between the industry-level slope asymmetry and asset illiquidity.