Should You Link Back To Previous Press Release Even If It’s From A Different Domain?

In episode 281 of Semantic Mastery's weekly Hump Day Hangouts, one participant asked if you should link back to previous press release even if it's from a different domain.
The exact question was:
I saw the press release stacking video. Still trying to figure it out. Should we be linking back to previous press even thought the previous PR is on different domain?
