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Data governance refers to the exercise of authority and control over the management of data. The purpose of data governance is to increase the value of data and minimize data-related cost and risk. Despite data governance gaining in importance in recent years, a holistic view on data governance, which could guide both practitioners and researchers, is missing. In this review paper, we aim to close this gap and develop a conceptual framework for data governance, synthesize the literature, and provide a research agenda. We base our work on a structured literature review including 145 research papers and practitioner publications published during 2001-2019. We identify the major building blocks of data governance and decompose them along six dimensions. The paper supports future research on data governance by identifying five research areas and displaying a total of 15 research questions. Furthermore, the conceptual framework provides an overview of antecedents, scoping parameters, and governance mechanisms to assist practitioners in approaching data governance in a structured manner.