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It appears in the book "Art & Fear: Observations On the Perils (and Rewards) of Artmaking" by David Bayles and Ted Orland.

PROTIP: Google will often tell you these things!

And where in that book are the references to an actual study?

PROTIP: Books are often filled with creative writing.

Fine, OK. I checked it out and there are no citations in the book at all (1993 edition), so yes it's a just-so story.