The truth is, it depends.
For example, it has been scientifically proven that swimming can increase appetite.
The cold water temperature stimulated post-exercise energy intake with the cold condition resulting in 44% more calories consumed than the neutral water conditions and 41% more than the resting conditions.
Swimming in particular is known to stimulate a compensatory appetite.
Other movement (walking, running) -my guess is that it varies by individual. It's like breast feeding - some can BF and have the weight drop off easily. For me, my appetite made up the difference and I didn't lose from breastfeeding alone.
Running, I find myself again compensating rather well if left to my own devices. Your own mileage may vary. But I am not alone:
According to research presented at the American College of Sports Medicine this year, you may actually gain weight—especially if you’re a woman—training for a marathon.
[COLOR="rgb(46, 139, 87)"]In the 3-month study, researchers put 64 individuals on a marathon training program, 78% experienced no change in body weight, 11% lost weight and 11% gained weight. However, among those who gained weight, almost all were women.[/color]
So, if you want to lose weight, it goes back to counting (calories, points, carbs, whatever works for you). It's hard to out-train a bad diet.