I used Google images and History Direct for references. My issue with this signed photo is that is a 30's era signature and virtually all examples I can find is later examples. What concerns me is that it may be a secretarial cause the "G" in Groucho is different than the majority of the ones I can find.
I agree. Sig and inscription seem all in one hand (not Steve Solier), but they should I suppose from this apparent vintage. Not seen the "G" but this appears early - perhaps OK but I'd need more. See what the others say as they obviously know much. I don't have enough exemplars to make a sensible comment. Without additional data, I'd pass.
If it's Groucho's signature it would be a gem for the era. I found one similar "G" but the source does not make me any more comfortable. I hope that someone on this site will know better. I have studied this one very closely and I think it's either real or a secretarial and cannot find enough information. I side for real but being 95% convinced is just not good enough to make the jump.