Ken asks a good question: Why would you want to link to them?
If you have a good reason, then by all means don't be afraid to link to one and another.
Here is an example: You know someone who does property management and also has a great website. You don't do property management. So, why not link to each other?
How about arranging a link partnership to someone who works a part of town that's really too far away for you to service? How about a specialist for a type of property that is really outside your area of expertise? Commercial, Historical, Luxury, Condo, Loft, Land, etc.
There are other great local businesses for you to set up link partnerships with. The list is only limited by your imagination.
Hint... Links from websites that search engines consider to be in your local area
might improve your rankings.
