Analysts, investors and entrepreneurs have recognized the value of personal data for Internet economics. Personal data is viewed as ‘the oil’ of the digital economy. Yet, ordinary people are barely aware of this. Marketers collect personal data at minimal cost in exchange for free services. But will this be possible in the long term, especially in the face of privacy concerns? Little is known about how users really value their personal data. In this paper, we build a user-centered value theory for personal data. On the basis of a survey experiment with 1269 Facebook users, we identify core constructs that drive the value of volunteered personal data. We find that privacy concerns are less influential than expected and influence data value mainly when people become aware of data markets. In fact, the consciousness of data being a tradable asset is the single most influential factor driving willingness-to-pay for data. Furthermore, we find that people build a sense of psychological ownership for their data and hence value it more. Finally, our value theory helps to unveil market design mechanisms that will influence how personal data markets thrive: First, we observe a majority of users become reactant if they are consciously deprived of control over their personal data; many drop out of the market. We therefore advice companies to consider user-centered data control tools to have them participate in personal data markets. Second, we find that in order to create scarcity in the market, centralized IT architectures (reducing multiple data copies) may be beneficial.