It does depend on the copyright holder, but that's not always the artist themselves. Artists *in the biz* typically publish their material through distribution houses such as ASCAP and BMI, by record deal mandate. They're very much against sharing. Major record deals typically dictate what artists can do with their own material.
A distinction also needs to be drawn between indie artists and those in the mainstream. Mainstream artists under a major record contract will almost never offer more than one complete song for download from a CD. It's more common to see clips of songs, at poor quality, rather than complete tunes. A lot of the time, those are streamed only, no download. Indie artists, on the other hand, will offer more complete tunes, at decent quality, with the intention of making a name for themselves. They WANT these files distributed as far and wide as possible. Incidentally, Indie artists do make money from their CD sales, often a large part of their income. Mainstream artists usually make about 10 - 15 cents per disc or tape sold.