Pre-print, Working paper: While much has been made of the value of employment relative to unemployment, much less is known about the value of work relative to retirement. We here use two European panel datasets to first show that psychological well-being (measured on the EURO-D and GHQ scales) barely changes on average when individuals retire. However, there is a great deal of heterogeneity in the size of the change between job type and between individuals. Some gain on leaving work, while others experience substantial falls in well-being on retiring, suggesting that they may have preferred to carry on working. We suggest that the results of these analyses can help to inform policy aiming to encourage labour supply by older workers.