Icon placement when it opens a new window

When using an icon to represent a link I believe the standard convention is [icon] [Link].

A colleague has raised the point that for links that open in a new window, the icon should appear after the link ([link] [icon]). Wikipedia's reference section was given as an example. I realise there are usability, and accessibility implications; the aim is to reserve it for PDF and other non-web documents. One factor to consider if whether the link is being listed with other links, and they do not open in a new window. The icon space should be reserved to maintain a straight left edge for readability.

My thoughts are that the icon should always come before the link. It ensures the expectation is set (assuming the icon is sufficiently communicates its purpose), which fits with Nielsen's finding of "users often read only the link text's first few words"; putting it at the end of the link reduces the probability the user will see it.

I cannot seem to find any research about this. What does everyone else think the standard should be? Are there any exceptions?