Should functions return null or an empty object?

What is the best practice when returning data from functions. Is it better to return a Null or an empty object? And why should one do one over the other?

Consider this:

public UserEntity GetUserById(Guid userId)
{
     //Imagine some code here to access database.....

     //Check if data was returned and return a null if none found
     if (!DataExists)
        return null; 
        //Should I be doing this here instead? 
        //return new UserEntity();  
     else
        return existingUserEntity;
}

Lets pretend that there would be valid cases in this program that there would be no user information in the database with that GUID. I Would imagine that it would not be appropriate to throw an exception in this case?? Also I am under the impression that exception handling can hurt performance.

Returning null is usually the best idea if you intend to indicate that no data is available.

An empty object implies data has been returned, whereas returning null clearly indicates that nothing has been returned.

Additionally, returning a null will result in a null exception if you attempt to access members in the object, which can be useful for highlighting buggy code – attempting to access a member of nothing makes no sense. Accessing members of an empty object will not fail meaning bugs can go undiscovered.