Research summary: This article provides the first review of a growing line of scholarly work in strategy that we refer to as “value capture theory.” The common thread in this work is its use of cooperative game theory as a general, mathematical foundation upon which to build a deep understanding of firm performance in market settings. Our review: (1) describes the primary elements of the theory; (2) highlights important blindspots that it resolves with respect to existing theoretical approaches; (3) calls attention to several of its novel insights; and (4) summarizes a myriad of applications and empirical studies that have appeared in recent years using value capture theory. Managerial summary: Traditionally, theoretical claims in strategic management have been supported by informal, qualitative reasoning. Recently, however, a new line of theoretical work based upon mathematical methods, known as “value capture theory,” has been gaining in popularity. This article reviews the recent advances in this line with a particular emphasis upon a number of its important insights, several of which challenge longstanding propositions from the traditional line. For managers, the formal nature of value capture theory is well‐aligned with data‐driven analyses of strategic situations. Copyright © 2016 John Wiley & Sons, Ltd.