Max Weber was wrong - the Protestant work ethic doesn't lead to economic success. That's the claim of this beautiful paper.
Sascha Becker and Ludger Woessmann show that Weber was correct in the sense that, at the time he was writing, Protestantism was associated with economic success. They show that in 1871 there was a strong correlation across 453 Prussian counties between prosperity and the proportion of the population who were Protestant.
However, this correlation is wholly attributable to the fact that Protestant counties had higher literacy rates - which was, in turn, the result of Martin Luther's demand that children be educated to read the Bible themselves.
Controlling for literacy, they found, removed any link between Protestantism and prosperity. There's just no work for the Protestant work ethic to do.
Protestants were richer than Catholics because they were better educated, not because they were harder working or more frugal.
This has (at least) implications. First, it suggests the direct contribution of culture to economic success might be over-rated. What looks like a cultural effect might instead be a contribution of human capital, with culture affecting prosperity only via human capital.
Secondly, it's evidence that religion, even in a quite dogmatic form, can have positive benefits.
Thirdly, now that even Catholics are universally educated, the presumption that Protestantism is economically superior might be wrong.
Another thing: here's a paper which shows how its emphasis upon education affected the history of Judaism.