As a small business owmer, I stand by my own choice and I think it's far more superior to being an employee
I've tried both and even though my company is just a bit over a year old it has made me far better results.

Both paths have ups and downs, for an example being an employee is much safer and comfortable to an average person. You only worry about how you perform and does the check come in on time. There is opportunity for progress and growth but it is very limited considering the possibilities when being a business owner.

If you have a solid business plan and experience in a field, you could make a far larger amount of money and have more freedom with your time and working ethics. It does come with more stress and headache and sometimes far more than 8h daily work but financial stability is a must.