Working out may change your life for the better, but it won't necessarily spur a change in your eating habits. The widely held belief that gym devotees eat less fat is unfounded, according to a new study. The research also suggests that women may have to work harder to lose weight than do men.

The researchers assigned 74 sedentary and overweight men and women to either a control group or an exercise group in which subjects walked on a treadmill for 45 minutes a day, five days a week. Both groups ate whatever they pleased. Their diet was measured throughout the 16-month trial.

Those who sweated through the experiment ate no differently in terms of the percentage of carbohydrates and fats than did the control group. Both groups also ate the same amount of protein. Joseph Donnelly, director of the Center for Physical Activity and Weight Management at the University of Kansas in Lawrence, says the exercise industry often overstates the benefits of exercise alone.

In the exercise group, all but one of the men lost weight, while on average, the women lost nothing. Donnelly speculates that women may burn fewer calories during their workouts because they are physically smaller than men.

Researchers plan to investigate this difference by upping the exercise regimen for the women while incrementally reducing their calorie intake. “The same women may need to burn only an additional 100 or so calories to lose weight,” Donnelly says.