Never heard of an official study, although I'd love to read it if someone has heard of one.
I honestly don't think either situation in inherently better, at least speaking from my admittedly limited experience. I've had some bullets stay in the deer and some bullets exit, but the end result has always been deer that was always recovered after a short run. What kills deer is extensive damage to internal organs. Whether a bullet exits or not isn't all that relevant if it leaves a gaping wound in both lungs and/or the heart.
Where an exit wound comes in handy is when you're following a blood trail. Creating two holes from which blood can exit and drip onto the ground would certainly be preferable to one hole if you're hunting in a lot of thick vegetation.
On a different note, super_hunt is right about the high shoulder shot. Put a bullet there, and it's game over for whatever you're hunting.