I think it really depends on what standard of evidence you require. If you need a whole list of studies in scientific journals then you'll be disappointed. As has been pointed out, there has only been one journal article on this subject it seems (but it did find positive results for PE). Absence of evidence is not evidence for absence.
I gave it a go because:
1) It didn't seem wildly implausible. We know of how some cultures deform and stretch their ears, lips and necks etc and there has also been a scientific article published about stretching the tissues in rat tails, so it is not as though we're asked to believe something outlandish like playing music to the penis to enlarge it.
2) There is much anecdotal evidence for it. Why would many people claim it worked for them if it didn't who had no material interest in lying? Simply because evidence is anecdotal doesn't disqualify it as evidence. For example we have modern scientific medicines that are derived from old folk remedies that originally had only anecdotal evidence to support them. To dismiss PE for lack of evidence is I think like refusing to investigate the remedies of 'primitive' people because there is no scientific evidence for them, when in fact more recently medical science has found useful medicines in this way.
3) There's little to lose in trying. Unless you're much too rough with yourself there is little risk of doing damage.
I tried it and got modest results even though I only did it intermittently.
There are some rather obvious reasons for the lack of scientific evidence for PE (note lack of evidence that it works, not evidence that it doesn't work). First, most scientists wouldn't want to be associated with PE - it's not a 'respectable' subject. Few if any scientific journals would want to publish anything about it. Secondly, it's not something that it would be easy to make money out of because it doesn't really require any special products.