A while back, I got several messages from readers attributing this quote to Mark Twain. I'm always skeptical of such attributions, since Twain -- plus a few other people, such as Winston Churchill, Dorothy Parker, George Bernard Shaw, Oscar Wilde, Ambrose Bierce, Benjamin Disraeli, and H.L. Mencken -- seem to be magnets for loose quotations. If you're not sure of the source, credit Twain, and that'll be plausible enough. So I asked the indispensable UCLA Law School research library to track it down. (Yes, I can legitimately do that, since I plan on using the quote in my law review article.)
Here's what seems to be the scoop, courtesy of Jenny Lentz: The quote has indeed been often attributed to Mark Twain, but there doesn't seem to be much proof that he indeed said it. The most detailed source she could find was this note in an article by Lawrence P. Wilkins in 28 Indiana Law Review 135 (1995):
[The quote was a]ttributed [to mark Twain] by Allen D. Boyer in Activist Shareholders, Corporate Directors, and Institutional Investment: Some Lessons from the Robber Barons, 50 WASH. & LEE L. REV. 977, 977 (1993), who saw the attribution in ROBERT SOBEL, PANIC ON WALL STREET 431 (1988). Professor Sobel saw the attribution some time ago in an editorial column in the New York Times, the author of which he cannot recall. He has consulted with several Twain scholars across the country, and all agree that the quotation sounds very much like something Twain would say, but none seems able to find the actual words in Twain's papers. Telephone conversations with Allen D. Boyer and Robert Sobel, March 3, 1995 and March 7, 1995. It is somewhat ironic that this quotation cannot be definitively traced to Twain, whose energies were spent in great measure to protect his rights of authorship. . . .
In any case, I can still easily use the quote, just giving it as "Attributed to Mark Twain." But it's worth noting that there's some uncertainty about it. If anyone can resolve this uncertainty by a specific pointer to a written work by Twain -- and not just by a pointer to someone who has attributed the quote to Twain -- please let me know.