Value-Based Software Engineering stresses the role of value in software related decisions. In the context of feature selection, software features judged to provide higher value take priority in the development process. This paper focuses on what value means when selecting software features. Using grounded theory, we conducted and analyzed semi-structured interviews with 21 key stakeholders (decision-makers) from three software/software-intensive companies, within a context where value-based decision-making was already established. Our analysis led to the building of a theory of value for value-based feature selection that identifies the nature of value propositions considered by key stakeholders when selecting software features (i.e., decision-making criteria for deciding upon software features, as suggested by Boehm (2003)). We found that some value propositions were common to all three company cases (core value propositions), whereas others were dependent upon the context in which a company operates, and the characteristics of the product under development (specific value propositions). Moreover, value propositions vary according to the stakeholder group and the type of feature being assessed. Our study provides significant insight into value in the context of feature selection, and generates new concepts around value-based feature selection such as new value propositions.