There is now a comprehensive study. Two results struck me:
They found no greater variance in men than women. It
had been suggested that since science selects for individuals at the
upper tail of the distribution, a higher variance in men than women
might explain their greater representation. However, the researchers
found that — with respect to chess — if anything in most age groups
women had a higher variance then men. Upper tail effects do not explain
the differences in the numbers of grandmasters…
If you look at the participation rate of women and relate that
to performance, you find that in cases where the participation rate of
women and men is equal the disparity in ability vanishes.
Basically, this means that in zip codes where there are equal numbers
of men and women players there is no great disparity between male and
female ability — and certainly not a disparity in ability large enough
to explain the difference in the numbers of grandmasters.
Chess players, of course, have clearly defined numerical performance ratings, which measure quality quite accurately. The bottom line seems to be that men simply care more about doing well at chess, I might add that this speaks well for women. Of course this preference-based explanation can be tested further; it implies that women should have greater relative chess strength in poorer countries, where they are more likely to play for a living and not just for fun. I believe this to be true, most of all in China.
The pointer is from Daniel Strauss Vasques. On related issues, here is my earlier paper, "Why Women Succeed, and Fail, in the Arts."