“What year were you?” a Morgan Stanley colleague asked me years ago. “Huh? Year?” I replied. “What year at HBS?” H-B-what? “What year did you graduate from Harvard Business School?” Oh, I get it now. “I didn’t go to HBS,” I told him. “Actually, I don’t have an M.B.A.” After a long pause and scrunched-up face, he asked, “Well, then how the hell did you get a job here?” As I walked away, I murmured under my breath, “Maybe I earned it.”

So should you get a master’s in business administration? These days a lot of people are rethinking...