Yeah I think this would be a hard conclusion to jump to. There have been numerous papers on the benefits of market segmentation by gender to improve marketing effectiveness due to differences between genders.. But I don't know if any studies that can show with any confidence that one gender is more susceptible overall. It is always broken down by marketing approach (approach x effectiveness by gender). So, it is fair to call the spade a spade.
I'm not even sure how you would show this. Would you look at total spending by a gender? But that could reflect income-earning differences. Would you look at percentage spent on advertising by a industry targeting a particular gender? But advertising is an arms race which one must engage in as long as the marginal return is >0, and there are all sorts of things affecting this unrelated to gullibility. Would you look at marginal return on advertising dollar split by gender? But this ought to be ~0 for both genders regardless of effectiveness, per previous.