In the present paper we examine this question for the case of women. In particular, we focus on gender-based earnings discrimination as a source of the dissatisfaction that could lead women to choose self-employment. Our hypothesis is that women who have earnings less than predicted according to male returns in one period will be more likely to choose self-employment in the following period. We examine the hypothesis using data for four European nations, from the European Community Household Panel survey (ECHP) for the 1999-2001 time period.