Java vs C#: Are there any studies that compare their execution speed?

The best comparison that I am aware of is The Computer Language Benchmarks Game.

It compares speed, memory use and source code size for (currently) 10 benchmarks across a large number of programming languages. The implementations of the benchmarks are user-submitted and there are continuous improvements, so the standings shift around somewhat.

The comparison is currently openjdk vs C# .NET Core.

Currently it is close, but .NET Core is slightly faster on most benchmarks.

Here's a nice recent study on the subject:

Numeric performance in C, C# and Java

Peter Sestoft ([email protected])

IT University of Copenhagen Denmark

Version 0.9.1 of 2010-02-19

Abstract:We compare the numeric performance of C, C# and Java on three small cases.

...

Both languages are evolving in terms of performance. At least in 2013, Microsoft's own Joe Duffy blogged:

Java is closer [to C++ in performance] than C# thanks to the excellent work in HotSpot-like VMs which employ code pitching and stack allocation.