Honestly? No. It's one of those things I grew up hearing, which seemed to make sense. Doing a quick search turns up papers like "Do exit polls influence voting behaviors?" which are locked behind pay walls, but the excerpts seemed to indicate that there is an effect scene, albeit a small one, on West Coast voting based upon East Coast exit poll results.

As someone who has studied political science, presumably you may have better access to those scholarly articles than I do.