Herny Ott discusses this in his book, "Electromagnetic Compatibility Engineering". You need to look at it from the bigger picture. IE, what is the shield doing?
For low frequency signals, the shield is used to protect the signal being transfered. You want to avoid power line/AM/FM radio signals to couple into your signal because it will interfere with normal operations. Therefore you must not tie the GND on both ends. Ground loops will cause small noises to couple into your signal, therefore the ground loop must be broken. This does not mean that you leave the shield hanging. You should tie the shield of the cable, to your enclosure, and if needed (as in the case of coax), you can tie the ground of your circuit to this same point. You want to use single point grounding as much as possible for low frequency for the above reasons.
However, for high frequency signals, the opposite is true. They are usually digital signals at very high frequencies. Even if some noise did get coupled, the digital nature of the electronics as well as filtering should easily maintain normal operations. You want to reduce the emissions of the data signals, NOT protect it from radiation. For this reason, the lowest impedance path should be connected to shield at BOTH ends. Yes, there will be ground loops, and noise will get coupled in, but it won't matter. In the case of high frequency, multipoint ground is prefered.