Enter vs. Shift Enter

Simple question here (I think) that i'm hoping somebody can help me with.
How do I know how hitting 'enter' vs hitting 'shift>enter' is going to react in InDesign?  Sometimes 'enter' gives me a new paragraph, and sometimes it bumps me right out of the text box.  Other times 'shift>enter' reacts in the same manner.
I realize this is probably an ultra-simple solution, I just can't seem to determine when 'enter' will give me a new paragraph and when 'shift>enter' will give me a new paragraph.  Thanks.

How do I know how hitting 'enter' vs hitting 'shift>enter' is going to react in InDesign?  Sometimes 'enter' gives me a new paragraph, and sometimes it bumps me right out of the text box.  Other times 'shift>enter' reacts in the same manner. 
I realize this is probably an ultra-simple solution, I just can't seem to determine when 'enter' will give me a new paragraph and when 'shift>enter' will give me a new paragraph.  Thanks.
I have a hunch that both replies overlooked a part of your question. Mind you, they're both completely right. However, I suspect that you were actually asking about this:
If you have a paragraph space of zero, enter and shift-enter will look exactly the same onscreen. However, if you have paragraph-space-before or paragraph-space-after defined, then...

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