DBI: EXECing stored proc causes temporary DB context switch?

I've been experiencing this issue in a couple of scripts:

If I do some DBI statements, then execute the following:

            $sth = $dbh->prepare("select db_name()");
            $sth->execute;
            while (@row = $sth->fetchrow_array) {
                print "before sp_who: $row[0]";
            }
            $query = "exec sp_who";
            $sth = $dbh->prepare($query);
            $sth->execute;
            undef $select;
            while (@data = $sth->fetchrow_array) {
                print @data;
            }
            $sth = $dbh->prepare("select db_name()");
            $sth->execute;
            while (@row = $sth->fetchrow_array) {
                print "after sp_who: $row[0]";
            }
            $sth = $dbh->prepare("select db_name()");
            $sth->execute;
            while (@row = $sth->fetchrow_array) {
                print "after sp_who 2: $row[0]";
            }

I get this:

before sp_who: somedb
[sp who output]
after sp_who: master
after sp_who 2: somedb

Is there any explanation for this behavior?

Thanks,

Steve