Why are both exercise and religion so good at increasing happiness?

They provide frequent, regular boosts to your well-being:

Many studies have shown that few events in life have a lasting impact on subjective well-being because of people’s tendency to adapt quickly; worse, those events that do have a lasting impact tend to be negative. We suggest that while major events may not provide lasting increases in well-being, certain seemingly minor events – such as attending religious services or exercising – may do so by providing small but frequent boosts: if people engage in such behaviors with sufficient frequency, they may cumulatively experience enough boosts to attain higher well-being. In Study 1, we surveyed places of worship for 12 religions and found that people did receive positive boosts for attending service, and that these boosts appeared to be cumulative: the more they reported attending, the happier they were. In Study 2, we generalized these effects to other regular activities, demonstrating that people received boosts for exercise and yoga, and that these boosts too had a cumulative positive impact on well-being. We suggest that shifting focus from the impact of major life changes on well-being to the impact of seemingly minor repeated behaviors is crucial for understanding how best to improve well-being.

Source: “Getting off the hedonic treadmill, one step at a time: The impact of regular religious practice and exercise on well-being” from Journal of Economic Psychology, Volume 29, Issue 5, November 2008, Pages 632-642

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