Fact 4. Returns to entrepreneurship have a much higher cross-sectional variance than wages.
Whereas measurement issues pose serious problems in comparing the average return to entrepreneurship to that to
wage work or to public equity (Hamilton, 2000; Moskowitz and Vissing-Jørgensen, 2002; Cagetti and De Nardi, 2006), the
difference in variance is so large, and largely immune to shifts in the mean, that there is no disagreement on it.
To illustrate, in an early study, Borjas and Bronars (1989, Table 7) found that the standard deviation of log weekly income
for the self-employed is up to twice that of wage-earners. Depending on the measure used for income from selfemployment,
it is between two and almost four in the sample from the SIPP used by Hamilton (2000, Table 3).