  A data intermediary acquires signals from individual consumers regarding
their preferences. The intermediary resells the information in a product market
wherein firms and consumers tailor their choices to the demand data. The social
dimension of the individual data -- whereby a consumer's data are predictive of
others' behavior -- generates a data externality that can reduce the
intermediary's cost of acquiring the information. The intermediary optimally
preserves the privacy of consumers' identities if and only if doing so
increases social surplus. This policy enables the intermediary to capture the
total value of the information as the number of consumers becomes large.
