This happen because water vapor from the exhaust condensates as soon as it enter the low temperature surrounding. The white smoke is visible water droplets formed due to pressure of water vapor falls below saturation pressure of water at the atmospheric temp.
BTW, H2O will always exists in the exhaust pipe. Referring to Adrian answer, if white smoke persists, it could be leakage in cylinder wall. If smell is detected with the white smoke, this confirms it.