Shares are paid out at the end of each event based on where each player placed in their final rankings, according to their fantasy score.  1st place always pays out $25, 2nd place less, etc, and you can click into the "i" tooltip in the top right of the event to see how each share is paid out.  

Think about where you expect a player to finish, and see the corresponding payout to know how much you should bid.  For example, if a player a price of $20 which correlates to a 3rd place finish, you should buy the player if you think they'll finish 1st or 2nd, and you should sell/short the player if you think they'll finish 4th or below.