The film is billed as 'the world's first street art disaster movie'
Notorious street artist Banksy, whose work has decorated his home town of Bristol and Israel's West Bank barrier, has turned his hand to film-making.
Exit Through The Gift Shop will have its world premiere at the Sundance Film Festival, his agent told the BBC.
It will be the first time the elusive artist, who has never revealed his identity, has spoken on camera.
Billed as "the world's first street art disaster movie", its inclusion in the festival has been shrouded in secrecy.
Sundance organisers are due to announce its inclusion at a press conference on Thursday.
Exit Through The Gift Shop was left off the official programme, but speculation about the festival's Spotlight Surprise turned to Banksy after four stencils, believed to be by the artist, appeared on walls in Park City, where the festival is held.
Banksy is known for teasing his audience, toying with authority, and continually pulling the wool over people's eyes to stage unexpected stunts.
Last year, he installed 100 of his artworks in Bristol's council-owned museum under the noses of top officials, and once smuggled a blow-up figure of a Guantanamo Bay detainee into Disneyland.
Exit Through The Gift Shop will have its world premiere at the festival on Sunday.
It is described as the story of how an eccentric French shop keeper turned documentary maker attempted to locate and befriend Banksy, only to have the artist turn the camera back on him.
Banksy said: "It's the story of how one man set out to film the un-filmable. And failed".
The film contains exclusive footage of Banksy, and many of the world's most infamous graffiti artists at work.
But until the film is shown, it is not known whether Banksy's identity will be revealed.
In the past, the artist has both mythologised and subverted his own image, so the film could raise as many questions as it answers.
John Cooper, director of the Sundance Festival, said the story was so bizarre that he questioned whether it could be real.
"Exit Through The Gift Shop is one of those films that comes along once in a great while, a warped hybrid of reality and self-induced fiction while at the same time a totally entertaining experience," he added.
Exit Through The Gift Shop is due to open in UK cinemas on 5 March.
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