If statement including multiple "or" statements in python [duplicate]

This question already has an answer here:

• How do I test one variable against multiple values? 15 answers

This is the script that is working:

proceed = True
while proceed:
    #part of code that is not involved in the question
again = raw_input("Would you like to calculate again? yes/no? ")
if again != "yes":
    proceed = False
    print "Bye"
    print "If you didn't want to quit input 'yes'... "

However I would like my code to be like this:

# not working don't know why:
if again != "yes" or "Yes" or "Y" or "y":
    proceed = False
    print "Bye"

Here it becomes fustrating, because when the interactive program asks me if i want to do it again, and i type Y, it proceeds with a bye and kicks me out of the interactive program.

Why doesn't this work in an if statement? Are there to many conditions?

I don't want to use if again == "yes" or etc., because then i have to use another else statement, which is less efficient.

I just simply want to know why the multiple "or" statements do not work here ;)