Privacy regulation is typically studied through its effects on firms and consumers, while its implications for financial markets remain unexplored. We use Apple’s App Tracking Transparency (ATT) to examine whether privacy-driven data sharing restrictions spill over to capital markets by reducing the precision of widely used signals. After ATT, analysts relying more heavily on such data become less accurate, and mutual funds shift attention away from affected stocks. Consequently, firms more exposed to these market participants exhibit weaker price efficiency. Our findings reveal a new fragility in financial markets as surveillance-like alternative data becomes increasingly vulnerable to future regulatory disruption.