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Amazon & Toys"R" Us Involved in Behavioral Targeting?

Just before holidays a colleague of mine asked me if Amazon and Toys"R" Us were involved in behavioral targeting. He told me that he did a search for Lego on ToysRUs and a few days later when he visited Amazon, he saw Lego featured on the home page. He said that he had never did any search for Lego on Amazon.I looked at the code on ToysRUs and did not find anything that looked like it is sharing data with Amazon.