The return-to-entrepreneurship puzzle

The returns to entrepreneurship are monetary and non-monetary. We offer new evidence on these returns using a large sample of male twins. Our within-twin analysis suggests that OLS estimates are downwards, and panel data estimates upwards biased. The within-twin estimates imply that entrepreneurs earn a negative earnings premium. Our within-twin analysis of non-monetary returns shows that entrepreneurs work longer hours and have greater responsibilities, but also have a greater control over their work.

► The returns to entrepreneurship are monetary and non-monetary.
► We offer new evidence on these returns using a large sample of male twins.
► Entrepreneurs earn a negative wage premium.
► Panel estimates of the premium are upwards and OLS estimate downwards biased.
► Entrepreneurs have longer work hours and more responsibilities. However, entrepreneurs have a greater control over their work.