When you open an app or look at a browser page, there’s a very fast auction that happens where different advertisers bid to get to show you an ad. Their bid is based on how valuable they think you are, and to decide that, your phone sends them information about you, including, in many cases, an identifying code (that they’ve built a profile around) and your location information, down to your latitude and longitude.

Source: Company Tracks Iowa Caucusgoers by their Cell Phones – Schneier on Security