Spin splitting of photoelectrons in p-type and electrons in n-type III-V Mn-based diluted magnetic semiconductors is studied theoretically. It is demonstrated that the unusual sign and magnitude of the apparent s-d exchange integral reported for GaAs:Mn arises from exchange interactions between electrons and holes bound to Mn acceptors. This interaction dominates over the coupling between electrons and Mn spins, so far regarded as the main source of spin-dependent phenomena. A reduced magnitude of the apparent s-d exchange integral found in n-type materials is explained by the presence of repulsive Coulomb potentials at ionized Mn acceptors and a bottleneck effect.