Smart speakers collect voice input that can be used to infer sensitive information about users. Given a number of egregious privacy breaches, there is a clear unmet need for greater transparency and control over data collection, sharing, and use by smart speaker platforms as well as third party skills supported on them. To bridge the gap, we build an auditing framework that leverages online advertising to measure data collection, its usage, and its sharing by the smart speaker platforms. We evaluate our framework on the Amazon smart speaker ecosystem. Our results show that Amazon and third parties (including advertising and tracking services) collect smart speaker interaction data. We find that Amazon processes voice data to infer user interests and uses it to serve targeted ads on-platform (Echo devices) as well as off-platform (web). Smart speaker interaction leads to as much as 30× higher ad bids from advertisers. Finally, we find that Amazon's and skills' operational practices are often not clearly disclosed in their privacy policies.