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It's true, exchanging links is one way to improve your search engine rankings. So, when someone asks for a link, you have everything to gain in giving it to themor don't you? As a matter of fact, there are some situations where exchanging links is not helpful and can even be a detriment.
Every time you link to another site, it is like showing your visitors to the door and asking them to leave. Chances are that once they go to the new site, they'll never come back. That's the major drawback to links. There are ways to prevent losing your guests. You can cause the link to pop-up the new site in a separate window. This has it's own drawbacks. You can also bury the link in a place that is maybe not so obvious or that is several pages deep into your site. In the best of circumstances, the site you link to has a link back to you prominantly displayed. Ideally, the opposing site ought to bring as many visits to you as you send to it.
What if you don't like the other site? Or what if it is not really about your industry or market? Should you still link to it? If you cannot justify the link to your visitors, such a link could hurt your credibility, which is the first reason to have a web site. Secondly, if the other site is not about your kind of business, what are the chances they will send visits back to you. This is a doomed exchange.
Let's say you get a message from another site that looks suspicious. Perhaps Tom Ogden's SPAM filter has tagged it as highly probable SPAM. You might lookup the domain record and find the person who claims to own the site doesn't match the name of the person who owns the domain. Worse, maybe the domain of the sending e-mail address is different than the domain of the site your are asked to link with. If ever you suspect dishonesty, avoid the link, no matter how good it looks. And never add a link to a requesting site until after they link to youthat's just common sense.
The point is that search engines don't just count your exchanged links. They look at the credibility and rankings of the sites you are linking with. You want to link with sites that are honest, that have something worthwhile to share with your visitors. You want to link with sites that will get good search engine rankings.
You get an e-mail message from someone who got your address off of your web site. They claim they have already linked to you, and they want you to link back to their site.
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