Alternative data has reshaped financial markets, yet it arises outside traditional disclosure channels, beyond market participants’ control. We exploit Apple's App Tracking Transparency as a privacy-driven shock to alternative data generation, revealing a previously overlooked vulnerability in financial markets. The policy weakens the predictive power of mobile traffic for firm performance and mutual fund trading. Funds reliant on such data lose their edge in exposed stocks, while analyst forecasts citing mobile traffic become less accurate and elicit weaker reactions. Firms more dependent on these market participants face greater information frictions.