The article explores how shocks in different sectors affect asset prices. By analyzing a multi-sector economy model, the researchers found that sector-specific shocks mainly impact sectors producing investment goods. However, the input-output structure diffuses these shocks, leading to similar stock returns across sectors. Productivity shocks in sectors contribute significantly to equity risk premia, with variations in their impact but not in the overall risk premia composition. The model also shows that sectoral stock returns exhibit volatility clusters, even though shocks have consistent volatility levels.