Broadway Legend Joined: 2/20/04
Yero is correct. For example, many actresses who get married keep their maiden name as their stage name, but use their husband's last name on legal documents, etc.
Leading Actor Joined: 4/29/06
A lot of actors I work with keep their real names on checks & licenses and stuff -- which is how I find out that it's not their real name, unless it just happens to come up in conversation. I know some people who have (Real Name) A.K.A. (Stage Name) on their checks, which probably comes in handy when dealing with people who only know them as their stage name.
I'm a stage manager, but I had a stage name picked out, in the unlikely case there was someone in Equity with my name. Turns out I didn't need it, but if I had I would have changed my legal name too, just to avoid any confusion of not being able to prove who I am, or having checks written to my stage name, etc. I don't feel any particular attachment to my name, but some people do.
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