Edwin - 10:22 am on Sep 26, 2011 (gmt 0)
There is definitely a positive correlation between an exact match domain and an improved CTR, because we did a widely reported test on this a couple of years ago and reported our findings in a white paper.
The test backed up what other sources had indicated, mainly anecdotally, i.e. that the right domain name really does boost CTR (when you keep all other factors the same i.e. same bids, same keywords, same ad text etc.)
You'll find commentary on our test and of course the test data itself if you Google exact match domain name ppc