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. Our analysis yields mixed results, with a strong effect of deviations from expected female earnings, but less strong results for deviations from male earnings, depending on the model estimated. The paper is organized as follows: section II presents a brief summary of recent papers focusing on the role of earnings in explaining sectoral choice. Section III presents the rationale for the hypotheses studied, while section IV describes the methodology and data used in the study. Results are presented in section V. Conclusions and topics for further research are presented in section VI.