Yes, by an average of nearly three degrees Fahrenheit, according to widely cited 1998 study by Dr. Han Kim of the University of Utah School of Medicine—Cold Hands, Warm Hearts (paywall). The researchers used infrared radiation to measure the temperatures of 219 people varying in age from infants to 84 years old (78 male, 141 female).
The results showed that average hand temperature for women was 87.2 degrees F; for men, it was 90.0 degrees. Interestingly, the study also found that the women's average core temperature was actually slightly higher than men's (97.8 versus 97.4 degrees).
While it's unclear exactly why these temperature differences occur between genders, it doesn't mean that you can't take steps to keep your digits comfortable in the winter cold.
You can learn more in my previous article, Hot Hands: Toast Your Fingers with the Right Gloves, but for starters, stay hydrated to help keep blood flowing to your extremities; make sure that you purchase gloves that fit properly (your fingers should almost, but not quite, touch the end of your gloves); consider wearing mittens instead of gloves, especially in deep cold; and keep in mind that every manufacturer uses a slightly different hand 'model' to determine their glove shape—always try on multiple brands and styles to find the one that best matches your hands.