Yes, and that's exactly why people do it intentionally. It's basically a trick to make the SE believe a site has pages and information that it does not. Think about how many pages you could have if all you had to do was write a link that made the SE think the page you link to was part of your site... You could create an 'authority' on any subject, and then run your G-ads, so when people visited and realized your site didn't have any information they would have somewhere to go.
I have seen this both ways... sometimes people use a generic script for linking and have no idea they are doing this. Others write the links to do it on purpose.
I have seen this happen with frames too. I contacted one person who used a framing script, who honestly had no idea that the free frame script they were using put all links into a frame on their URL. EG Anytime a link was clicked the page opened as if it was part of his site... no matter how many links were clicked.
So, if you navigated from their site to another site, the other site and all of its links were opening as if they were a part of the first site... Even if you navigated 2 or 3 sites away from theirs. No matter how far you went, everything opened like it was his... and these were getting indexed as part of his site!
I am sure he had no idea, because he pulled his entire site from the internet as soon as he knew.
This is actually a very good catch and I will probably revisit my sites listing again to make sure... I normally do a once a month 'house cleaning', but may start going back to weekly again.