A lively topic of current debate concerns whether entrepreneurs enjoy an income premium for their efforts, or pay a discount as the price of enjoying greater autonomy than employees. Addressing this question is fraught with difficulties, including income under-reporting by the self-employed as well as a host of other measurement problems. This chapter carefully chronicles these issues, before presenting theory and evidence on the mean returns, inequality and volatility of entrepreneurial incomes. Human capital theory as it relates to entrepreneurial performance is enunciated, followed by a thorough review of the evidence of performance drivers.