I tried using shredded paper for my horses a few years ago. I didn't think it absorbed liquid very well but the real problem was after I removed it from the stalls. The paper flies everywhere!!!!!! Even if it is wet when it enters the pile, the top layer will dry and fly. I had little pieces of paper all over, it takes quite a while to decompose. Sort of like having your shrubs TPed by kids. I've never had this flying problem with wood shavings.
If you plan on bagging it and sending it to a dumpster or maybe putting it into an enclosed mulch bin it shouldn't be a problem.