Computational social science research is a fast-growing research approach across various disciplines. The expansion of its application to advertising research has been facilitated by the advancement of digital media technology, tracking online activities of large numbers of consumers, and increasing computing capacities enabling analysis of such massive datasets. Effective and fruitful computational advertising research, both exploratory research and theory-based research are important and should be properly implemented. Exploratory research can contribute to theory building by discovering new patterns of advertising phenomena leading to new theory development and testing the new theory by rigorous testing and retesting. Computational social science research has great potential for examining and understanding consumers' interactions with and responses to digital advertising and advertising effects. Evolving digital technologies, such as social media, mobile devices, wearable technology, virtual reality, and the internet of things, will continue to produce more massive data, capturing every aspect of human behaviors mediated by computers.