We study how capacity constraints in electricity grids shape production, firm value, and risk. We develop a general-equilibrium model in which electricity is a non-storable input subject to proportional rationing when aggregate demand exceeds grid capacity. The anticipation of future scarcity reduces firms' investment and output, while stochastic tightness generates a priced risk factor. Using U.S. data on firms' plant locations matched with measures of electricity outages and forecasted capacity, we show that tighter constraints reduce employment, investment, profitability, and firm value. Firms exposed to electricity tightness earn higher returns unexplained by standard factors.