From the study, if you're an entrepreneur, you are more likely to have a mental health issue (49%) than not (48%). Significantly higher rates of suicide, depression, etc.
It's higher across the board.
But it isn't just from the stress of starting a company.. entrepreneurs are more likely to have close relatives with mental health issues too.
I wasn't able to find much other than that... so if anyone else has more links, I would be interested in reading them.