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I agree with the thermal conductivity thing (people get hypothermic and die much quicker in cold water) but I don't know enough physics to dispute the idea about the calories. What I will suggest though is that at a high work rate, humans are producing a fuck load of heat, so exercising in water is 'maybe' more efficient since your body doesn't need to work so hard to cool down? Also, there's bouyancy in water, so you're moving but body weight is part suspended. So you're working to go forward but not support yourself, like say, running. Need a proper scientist to answer this. I hate swimming though, unless I'm chasing a can of beer down a river...
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If I get straight out out of the pool after a 1h30 swim (feeling a bit chilly as the water temp is 26-28 deg C) and get changed straight away (in the relatively cool changing rooms) I'll sweat through my t-shirt in the 5 minutes after that. The body gets used to dumping excess heat in the water and can't adapt quickly enough when changing environments.
I've also read about enhanced calorie burn in swimming due to higher thermal conductivity in water. With Olympic swimming pools being cooler (down to 22 degrees) the amount of calories required to maintain body temperature alone is considerably increased, particularly, if you are in the pool for many hours a day.
Isn't having an robust and efficient digestive system one of the most useful things to have as an endurance athlete?