Do university ethics classes actually have any practical effect on students' moral behavior outside of a university classroom or laboratory? Basically, we have no idea. I don't believe there is a single published empirical study on the issue. (If I'm wrong, let me know!)
We can make an empirically-informed best guess, though. Here's how: Look at the literature that examines the influence of ethics classes on students' self-reported moral attitudes. If there's a large effect of ethics instruction on student attitudes, maybe it's reasonable to conclude that there would be a moderate effect on student behavior. If there's a medium-sized effect on student attitudes, maybe conclude that there's a small effect on student behavior. Ethics classes work directly on students' attitudes and only indirectly on student behavior outside the classroom. Whatever effect business ethics courses have, for example, on students' tendency to verbally endorse mottoes like "it's bad to pad expense accounts", presumably the effect on behavior will be substantially smaller.
So what does the existing literature on ethics instruction suggest?
The research literature suggests that university ethics classes have at most a small, short-term effect on students' verbally espoused attitudes. This is so even when the researchers seem almost to be begging students to confirm their hypotheses -- for example, by giving before-and-after attitude questionnaires close to the topics of the classes the researchers are teaching (see, e.g., these two studies, among the most-cited recent empirical studies on ethics instruction).
Given the small and inconsistent short-term effects of ethics instruction on student attitudes, I suggest that in the absence of direct evidence it is reasonable to tentatively conclude that the long-term effects on students' attitudes are tiny to non-existent, that the short-term effect on students' practical behavior outside the university setting are tiny to non-existent, and that the long-term effects on practical behavior, if any, are smaller still.
Nor do I find it entirely clear that whatever tiny long-term effects the typical ethics class has on student behavior would be overall positive. Maybe for every positive change in one student's long-term conduct, there's a negative change in another student -- through associating intellectual ethical discourse with that horrible class in which she got a D, or through learning that one can always concoct some theory to rationalize attractive misconduct, or through reinforcing a pre-existing tendency to be a sophomoric know-it-all. Ethics professors don't seem to behave any better as a result of their familiarity with the university ethics curriculum; so why should students?
[For more on this topic, see my new full-length paper here.]