I work, am doing doctoral level study, and also have my own business. One thing I can tell you is that there are a lot of breaks in business - lots of things can be paid for with pre-tax dollars legitimately, and that gives you the impression of having more dollars at times. After 5 years of working 6 days a week with little time off, I now enjoy my business as a part time affair (online only) and find that my stress levels are much lower when I work for other people. A 5 day working week is fantastic after working a 6 day week......
I will probably always have my own business as the benefits are hard to ignore. But the costs in other areas, like family, need to be counted.