I absolutely believe this. Years ago when I was into distance running my running pal and I ran every day of the year, minimum 10k per day. Rain, sleet, snow, etc and I never got sick while I was doing that.
A side benefit was felt in my job which had me out in the elements 95% of my day. The exposure to the elements, particularly the cold weather, didn't seem to affect me as much as it did others.