There have been plenty of studies that refute this, from various countries. I can only conclude that this belief/wish stems from a variant of the puritanical work ethic where hard work will lead to prosperity, and winning the lottery isn't hard work so will obviously not lead to prosperity.

I've won the lottery. Sure, it was only a few grand and my life didn't significantly change. Studies on winners of truly large amounts of money, in the millions, tend to have more successful outcomes, with the studies I've seen putting between 66% and over 80% retaining their wealth for 5 or 10 years after winning.