FRANKFURT (Reuters) - Shares in Mercedes maker Daimler DAIGn.DE fell 2.5 percent in early trade on Thursday after a newspaper report accusing the carmaker of possibly selling more than a million cars with excess emissions in Europe and the United States.

Germany’s Sueddeutsche Zeitung, citing a search warrant issued by a Stuttgart court, reported that prosecutors were examining the possible use of illegal software to manipulate emissions tests in Mercedes-Benz vehicles between 2008 and 2016.

The Stuttgart prosecutor’s office declined to comment on the report.

Daimler declined to comment on an ongoing probe of the carmaker by the Stuttgart prosecutor but said it was fully cooperating with the authorities, adding it does not believe cars will lose their road worthiness certification.

Analysts said the latest report would spook investors, but stopped short of saying this emissions probe could take on Volkswagen-scale dimensions with millions of vehicles needing to be recalled.

“We take comfort from the fact that this is a European issue, not a U.S. investigation. We also do not believe these Merc cars will lose their certification. Our judgment is that Merc will be asked to recall these cars for a ‘software fix’,” Bernstein Research analysts said in a note on Thursday.

If Daimler did face VW-style fines of about $7,000 per vehicle in the United States, the penalty for Mercedes-Benz would be around $200 million to $300 million, Bernstein estimated.

Daimler shares were down 0.8 percent at 0927 GMT, underperforming Germany's blue chip DAX .GDAXI index which was down 0.3 percent.

In May, Stuttgart prosecutors, who are working with authorities in the United States, conducted raids of 11 sites in Germany as part of a probe into Daimler and excessive diesel emissions.

The searches were initiated in the course of investigations “against known and unknown employees at Daimler, who are suspected of fraud and misleading advertising connected to manipulated emissions treatment of diesel passenger cars,” the prosecutor’s office said at the time.

Two Daimler employees are under investigation by the prosecutor’s office.

Mercedes-Benz has limited the potential fallout from diesel emissions by dropping plans to seek U.S. approval to sell 2017 Mercedes-Benz U.S. diesel models.

The U.S. Justice Department, the Environmental Protection Agency (EPA), the California Air Resources Board (CARB) and a prosecutor in Stuttgart are investigating emissions of Mercedes-Benz diesel vehicles.

In its quarterly report, Daimler had said that steps taken by U.S. authorities against another manufacturer in January identified software functionalities that are “common in diesel vehicles” as illegal defeat devices.

“If these or other inquiries, investigations, legal actions and/or proceedings result in unfavorable findings, an unfavorable outcome or otherwise develop unfavorably, Daimler could be subject to significant monetary penalties, remediation requirements, vehicle recalls, process improvements and mitigation measures,” Daimler said at the time.

In January, the EPA and CARB accused Fiat Chrysler Automobiles NV FCHA.MI of illegally using software to allow excess diesel emissions from 104,000 U.S. trucks and SUVs. Regulators have refused to grant Fiat Chrysler approval to sell 2017 U.S. diesel models.