There seem to be a few reasons why an author may choose to write under an assumed name. Some writers say they do it because they write true-to-life stories with characters heavily based on people they know in real life, and they live in tiny communities where it'd be impossible to do that under their real names without ostracising themselves.
Others do it because they're known for writing in a particular genre, and they want to branch out and try something different. Sometimes they don't particularly care if people know (for example,. J. K. Rowling and Robert Gailbraith, or Stephen King and Richard Bachman); it's just a way of keeping their fan-bases separate. For others, it may be crucially important that nobody ever finds out - for example, if they're known for Christian or children's fiction, and they decide to try their hand at writing erotica.
Some women even do it because they write in what's perceived to be a male-dominated genre, and they don't want to give away their gender because they feel it might affect their success. Joanna Penn writes supernatural thrillers under J. F. Penn, for this very reason. It's not a huge secret; she doesn't mind the fact that those of us who already know and respect her as a writer know about it. She just doesn't want random browsers who've never heard of her before assuming she's female and letting that bias them against her.
Come to think of it, I'm sure some male romance and erotica writers do the opposite, and invent pen names that make them sound like women.
One of the authors I respect the most, Rayne Hall, writes under a pen name. She doesn't write anything particularly controversial or taboo, but she still keeps her real identity secret. I don't know her real name, myself. She once said that she does that because she wrote some really terrible, cringe-worthy (in terms of quality, not in terms of subject matter) stuff under her real name when she was younger, and she doesn't want any of her professional writing to be associated with that.
As a reader, does your favourite author write under a pen name (or perhaps they do, and you don't even know). If so, do you know their real name?
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