Direct Marketing News analyzed billions of emails and digital ad impressions, and compared the response rates to different types of direct mail. Their conclusion: Mail garners vastly better response rates. 

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Our view: Each tactic reaches different audiences at different times and they should be used in concert to build an integrated campaign. Mobile campaigns, digital campaigns, mail campaigns, media campaigns--none of these should exist independently. Instead, managers should put themselves in the shoes of each target segment, and think through that individual's experience, working backward from Election Day. Is the message unified across media? Does it carry over from one medium to the next? Do the different tactics enhance each other and work together to build a narrative? Does the timing of each interaction generate the biggest impact? These are the questions campaigns should always be asking as they balance and coordinate their communications in paid and earned media. 

Take a look at the full article on response rates here