I just had this conversation with a student in my class, so I thought I'd do a little post. It's a simple, basic lesson on the color of the reflected light.
The question was, "what color is the shadow?" The answer: "Depends." On what? A few things. The color of the thing itself, and the reflected light.
The reflected light is the primary light source bouncing off of some surface and illuminating the shadow side of the object. If there were no bounced light, you can't see anything in the shadow.
So if you can see anything - color, detail, value changes.... then something is illuminating it. It's either the reflected light, or the ambient light.
The ambient light is the secondary light that's not obviously a reflected light - say, the blue sky on a sunny day, or the diffused florescent light that's illuminating the studio in addition to the strong direct light on the model.
One can argue that cool ambient light provided by the sky is in fact reflected light, since it's sun light bouncing off of condensed water vapor and other particulate matter in the atmosphere, but for the sake of simplifying the point, we'll just limit the definition of reflected light to something that's caused by a surface near the object and facing the planes in the shadow side.
It's not complicated. In the painting above, the direct light hits the red couch, which bounces off and illuminates the back of the model, causing it to appear red. Her leg isn't affected by the red bounced light, because it's not facing the lit up red couch.
Her arm too, is not as red - it was receiving a lot of cool florescent light, which made it appear more violet. Note her breast is getting a lot more red bounced light than the arm.
In the painting above, the couch is blue. You can see I snuck some blue reflected light into her arm and the leg that's in front. Her left leg doesn't get the blue reflected light, because it's not facing a blue lit surface.
I'm not a strictly realist painter so I do use subjective colors a lot, but when I want the shadow colors to make sense, and am looking for luminosity, I pay more attention to the color of reflected lights.
One thing you have to keep in mind is that sometimes the reflected light appears really light and bright, and you may get excited about the intense color in the area, but the value of that reflected light must be darker than anything in the lit side (of the same surface). The rule is, the darkest light is lighter than the lightest shadow. Or, the lightest shadow is darker than the darkest light. You can also say it this way; Everything in light is lighter than everything in shadow.
Why is that? Because the light bouncing off of something can't be as strong as the original light source.
It's a simple rule but one that is often forgotten by beginning painters. The next time you're wondering about the shadow color, you might just ask yourself, what is illuminating that plane?