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All Eutheria and Metatheria have outer ears, and as far as I found out, monotremes once also had them, so they seem to be universal for mammals. Did other synapsids have them, too?

I know that soft tissue doesn't fossilize well, but isn't there any other way to find out, like muscle attachment? Has it something to do with mammalian ear bones?

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Yes, it is believed to be linked to the mammalian inner ear bones. Since they act as amplifiers, the faint sounds gathered by the outer ear have a greater benefit. But really early mammals show many adaptations that they were relying very little on sight and a great deal on hearing. External ears just might not be beneficial enough unless you are really relying on hearing. The only other vertebrates that rely that much on hearing, the owls, also have external structures to help gather sound.

The fact that both developed at the same stage is circumstantial evidence that they may be linked as well.

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