Hedges and Nowell (1995) write that
Sex differences in central tendency, variability, and numbers of high scores on mental tests have been extensively studied. Research has not always seemed to yield consistent results, partly because most studies have not used representative samples of national populations. An analysis of mental test scores from six studies that used national probability samples provided evidence that although average sex differences have been generally small and stable over time, the test scores of males consistently have larger variance. Except in tests of reading comprehension, perceptual speed, and associative memory, males typically outnumber females substantially among high-scoring individuals.
However, they don't really say anything about the reason for this aside from that "Our results shed little light on the origins of sex differences in [...] variability" (p45).
What theories are there of the reasons for this sex difference in variability on mental tests, and how strong is the evidence to support these theories?