The temperature-dependent energy difference of both spin counterparts of the dz2-like surface state of Gd(0 0 0 1) films being held responsible for the surface magnetic properties was investigated by means of variable-temperature scanning tunneling spectroscopy. This exchange splitting amounts to 700 meV at 20 K and decreases down to 400 meV at 300 K. Above 300 K the splitting remains constant. Pure spin-mixing as well as pure Stoner-like behavior can therefore be excluded. A theoretical description explains the observation by a local spin-polarization due to the atomic 4f moments which compete with spin-mixing caused by the thermal fluctuations of these moments. The results suggest that the high spatial localization of the surface states helps to maintain a local exchange splitting even above the Curie temperature but does not cause an enhanced surface Curie temperature.