This article reviews the evidence regarding the challenges of digitalization for direct (corporate profit) and indirect (consumption) taxation. Based on both anecdotal and empirical evidence, the authors evaluate ongoing developments at the OECD and EU level and argue that there is no justification for introducing a new tax order for digital businesses. In particular, the significant digital presence and the digital services tax as put forward by the European Commission will most likely distort corporate decisions and spur on tax competition. To contribute to the development of tax rules in line with value creation as the gold standard for profit taxation, the article discusses data as a “new” value-driving asset in the digital economy. It draws on insights from interdisciplinary research to highlight that the value of data emerges through proprietary activities conducted within businesses. The authors ultimately discuss how existing transfer pricing solutions can be adapted to business models employing data mining.