Several impatient investors with private costs Ci face an indivisible irreversible investment opportunity whose value V is governed by geometric Brownian motion. The first investor i to seize the opportunity receives the entire payoff, V −Ci. We characterize the symmetric Bayesian Nash equilibrium for this game. A laboratory experiment confirms the model’s main qualitative predictions: competition drastically lowers the value at which investment occurs; usually the lowest cost investor preempts the other investors; observed investment patterns in competition (unlike monopoly) are quite insensitive to changes in the Brownian parameters. Support is more qualified for the prediction that markups decline with cost.