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Notes -
People have mentioned the epistemic reasons for doing this (stereotypes as heuristics), but separately there is also the game-theoretic (contractualist) reason: Individualism is a social contract that has both costs and benefits. In order for a social contract to work, you can't let people get away with getting the benefits without also incurring the costs. Here, the benefit of individualism is that you don't have to get blamed for the actions of other people just because they share some characteristic with you. The cost is that you have to reject any preferential treatment you may receive from others who share that characteristic on that basis.
Therefore, if you see that members of a certain group treat each other with special preference (most of their friends or marriage partners are fellow [X]s, they tend to hire each other, they refrain from "snitching" when one has broken the law, etc.), then it makes sense to collectivize blame onto them, even as you might prefer that they join the individualist social contract instead.
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