From Best Practices for Exceptions https://msdn.microsoft.com/en-us/library/seyhszts%28v=vs.110%29.aspx† on MSDN in the section "Creating and raising exceptions":
Also, from Exception.Message Property https://msdn.microsoft.com/en-us/library/system.exception.message%28v=vs.110%29.aspx† at the beginning of the section "Remarks":