Across multiple studies, we investigate whether there are gender differences in preferences for receiving performance feedback. We vary many features of the feedback context: whether the performance task is a cognitive test or a mock interview, the feedback is objective or subjective, and it is possible for the provider of the feedback to discriminate on the basis of gender. Consistent with past work, we find that women are less optimistic about their performance than men and that, on average, more optimistic individuals have greater demand for feedback. Results like these have been hypothesized in the literature to imply that women will shy away from performance feedback more so than men. And, when we survey participants from a similar population, they also anticipate that women will demand feedback at lower rates than men. Yet, across our two incentivized studies, we find that women are no less eager to receive performance feedback than men. Understanding whether and how these results might generalize to broader contexts, particularly those with more social factors, is an important question for future work. This paper was accepted by Dorothea Kubler, behavioral economics and decision analysis. Supplemental Material: The online appendix and data files are available at https://doi.org/10.1287/mnsc.2023.02482 .