Jesper_Ostman comments on A few questions on International Rationality - Less Wrong
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Americans being more willing to be weird could explain both rationality as a project and religiosity.
"Weirdness" is closely related to a high score in the psychological trait openness in the big5.
According to this meta-analysis the correlations between religiosity and openness are somewhat mixed:
"Weirdness" is in the mind of the beholder.
Also, I bet they didn't check the openness level of people who start or join new religions-- such people are pretty rare, but they're the ones who keep the religious landscape lively.
I was assuming you meant something like "willing to go against the dominant norms in one's society" by it, which is close related to Openness.
I'd expect those people joining/starting new religions to be more open, thus the operalization of your hypothesis in terms of big5-Openness. There should probably be studies on smaller religions, such as new age, which might aptly be called new.