Macro shocks produce high dispersion in firm-level equity returns, sales growth, and other outcomes. We show that this dispersion reflects observable differences in business characteristics. To do so, we combine firm-level returns on stock market “jump” days with text about business risks in prior 10-K filings to construct firm-specific shock exposures. Our exposure measures explain firm-level abnormal returns through interpretable variation in language. They also explain most of the increased dispersion in firm-level revenue growth after major shocks and much of the dispersion in employment growth, investment rates, and earnings surprises. Our evidence yields a novel interpretation for countercyclical dispersion, highlighting the key role of heterogeneous business characteristics in macro shock transmission.

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