Objective We inquire whether the glass ceiling stems in part from the fact that women are more discouraged by setbacks than men are, as suggested by economic and psychological experiments. We use data from professional tennis to test this hypothesis. Method We apply ordered probit, ordinary least squares, and binomial probit to data from the 2012 ATP and WTA tennis tours. Results Women are not more likely than men to lose in straight sets or to lose the second two sets. Women who lose in straight sets win fewer games in the second set than men do. Women who lose the second set are more likely than men to withdraw from the third set. Conclusion Women are not more likely to lose because of setbacks, but those who do tend to lose by wider margins than men. This suggests that the glass ceiling is not the result of women being more easily discouraged than men.