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No, you're right, Grimm. Now that you mention it, I do remember that "little ghost" line from SANDMAN, the issue where he confronts Hector Hall, who is dressed up as a yellow-and-red heroic Sandman. The "Original Darkness" seen in Moore's SWAMP THING #50 actually said, "little thing" instead of "little ghost," but Gaiman was probably influenced by it.