Client confidentiality is an important consideration in audits. Clients concerned about privacy are likely to engage auditors without a presence in their industries. This client choice results in an auditor not being able to benefit from economies of scale. Thus, do auditors charge a premium for the clients demand for privacy? To test for an audit premium when a client chooses an auditor different from its competitors, I use a novel measure of privacy preference, which includes the top four firms in an industry choosing an auditor different from its competitor. The sample includes 228 three-digit industries from 2001 to 2010. The audit fee model regression results show that the privacy preference variable is significant and positive. Therefore, clients that prefer privacy when selecting an auditor generally pays an audit fee premium.