Officers believe the keys to the Citroen DS4 were stolen from inside Loretto School in Musselburgh on Sunday evening.
It is then thought the 2018 model hatchback was driven off between 9:30pm and 9:40pm.
The car is described as being white with a black roof and alloy wheels and the registration number SK18 HZW.
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Detective Constable Stephanie Sword from Lothians and Scottish Borders CID said: “As part of this ongoing inquiry we are trying to establish if the stolen vehicle has been used to commit any other recent crimes in the Lothians area.”
“We would urge anyone who has seen it since Sunday evening to contact police immediately.”
She continued: “In addition, we are also keen to hear from anyone who remembers seeing any suspicious activity around the Loretto School on this day and would ask they get in touch.”
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