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There's something to this but it's still a slightly dodgy generalization.

A random counter-example from France. If you have a one-person small business (i.e. with a registered business number and the right to invoice), all personal information beyond the name is private by default, it cannot be looked up. The Nordic countries are perhaps closer to the image you're painting. Personal tax information is famously public in Sweden, for example.

But IMO differences are easy to exaggerate. Let's not forget that private phone numbers used to be published in paper directories - with home addresses! - everywhere, including America.

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A store is more reasonable to put your name on because generally if you want to meet the person running it you could just walk into it regardless of whether you know their name.

The internet has created a culture of deranged harassment that makes posting your identity online alongside anything you publish more insane than ever. And your market is more or less the entire world rather than your local community.

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Europe has basically applied the same principle to websites as to stores, unlike the US where both websites and stores can be fairly anonymous.
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Occasionally mobs of hateful psychos will target individuals with harassment. There is absolutely not enough protection from unwanted messages, unwanted phone calls, false reports to SWAT teams, identity theft, who knows what else.
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In Europe, a lot of the protection is that they have to provide their own identity to access the system. So I can host something on my internet connection, which is tied to my ID, and people can DoS it, but those people also have to provide ID for their own internet connections and can be traced, unless they are outside Europe in which case I can solve it by blocking all other countries. If someone spam-calls me from Europe, their phone is registered to their ID and caller ID is strictly enforced, so I know who is spamming me. For this reason there are few spam calls. If someone sends me a letter - well, I don't think sender address is mandatory because it couldn't be enforced. If someone wants to look up my details on the business registry, they leave a record showing who is looking them up.
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