Here's one study. There are many more. I got this one from deathpenatlyinfo.org
$ Kansas Study Concludes Death Penalty is Costly Policy
In its review of death penalty expenses, the State of Kansas concluded that capital cases are 70% more expensive than comparable non-death penalty cases. The study counted death penalty case costs through to execution and found that the median death penalty case costs $1.26 million. Non-death penalty cases were counted through to the end of incarceration and were found to have a median cost of $740,000. For death penalty cases, the pre-trial and trial level expenses were the most expensive part, 49% of the total cost. The costs of appeals were 29% of the total expense, and the incarceration and execution costs accounted for the remaining 22%. In comparison to non-death penalty cases, the following findings were revealed:
The investigation costs for death-sentence cases were about 3 times greater than for non-death cases.
The trial costs for death cases were about 16 times greater than for non-death cases ($508,000 for death case; $32,000 for non-death case).
The appeal costs for death cases were 21 times greater.
The costs of carrying out (i.e. incarceration and/or execution) a death sentence were about half the costs of carrying out a non-death sentence in a comparable case.
Trials involving a death sentence averaged 34 days, including jury selection; non-death trials averaged about 9 days.
(Performance Audit Report: Costs Incurred for Death Penalty Cases: A K-GOAL Audit of the Department of Corrections) Read DPIC's Summary of the Kansas Cost Report.