I changed my horse's name when I bought him as a 5 year old. I thought his original name sounded too feminine, so I changed it without a second thought. A few folks said not to change it because it would confuse the horse, or that it was bad luck. Well, we got him that summer and the following fall there was a huge outbreak of strangles in the area, and just about everyone in our barn came down with it. It ran its course, and everyone began testing clear... except my horse. He was physically acting just fine, but tests indicated that the infection was still in his system. I don't remember how long, but it was there for a ridiculously long time and all of the "bad luck people" were absolutely sure that it was because I changed the horse's name. I'm not convinced, and I would definitely do it again.
My trainer told me about a lady she used to know who purchased a horse named Chester, but she thought that Chester was a mean sounding name so she changed it to a nice, sweet name- Bailey. About a month later Bailey was acting up while she was riding him and she just shouted "You're not a nice Bailey!! You're a mean, rotten Chester!!" And for the rest of this horse's life his name was Chester