Well a recent study finds that men might have a tiny edge over women in producing humor but the gap is too small to account for the stereotype.
Scientists had 16 male and 16 female subjects write funny captions for 20 New Yorker magazine cartoons in 45 minutes. Then the captions were rated by a different group of 34 male and 47 female subjects.
The researchers also found that unfunny captions were more often wrongly attributed to women and funny ones misattributed to men.
Given the tiny edge men held, why does the stereotype have a strong hold? Maybe men just make more attempts at humor. For example, fewer women win the New Yorker caption contests, but fewer enter. When women do enter, however, they tend to win with fewer attempts compared to men.