The active ageing approach supports a set of roles or activities that are supposed to be beneficial for older adults. This paper reassesses the benefits of activities for the quality of life by (a) analysing many activities at the same time to control each other, (b) using panel data to detect the effects of activities over time, and (c) performing separate analyses for four European regions to test the context-specificity of the effects. The effects of roles in later life are tested on panel data from three waves of the Survey of Health, Ageing and Retirement in Europe (SHARE) project. The results of fixed-effects regression show that only some activities – volunteering, participating in a club and physical activity – increase the quality of life, and that care-giving within the household has the opposite effect. Moreover, the beneficial effects are much weaker and less stable than the other types of regression suggest; they are beneficial only in some regions, and their effect is much weaker than the effects of age, health and economic situation. Therefore, the active ageing approach and activity theory should reflect the diverse conditions and needs of older adults to formulate more-context-sensitive and less-normative policy recommendations.