What types of companies are you talking about in regards to over the counter. Smaller speculative companies? If that is the case then yes they provide substantially more risk than say something like a large cap publicly traded company. A lot of those companies list over the counter because there are less requirements to get there than a major index. Financials are not reported as well, the companies are often startups/cash burners etc.
OTC penny stocks should be purchased with money you'd be comfortable taking to the casino and losing, and nothing more.