Artists and Secret Identities

Banksy has a new exhibition in Bristol, but no one knows who he actually is.

Why do some some famous and talented people choose to keep their identities secret? 

For some people, there are clear incentives - for example, George Sand could not have published during the mid-19th century as a woman. But what are the economic, social or psychological reasons why Banksy might choose to keep his identity secret? Who are other "famous" people who choose to keep their identity secret?