It's certainly possible but it's one of those sticky usability dilemmas.
- Should the link automatically open a new tab/window even though it looks like a normal link?
- Or should it just open in the current tab/window and rely upon the user to control the target?
My personal preference is for the latter, i.e. links should open in the same window unless you direct them otherwise via a middle-click, ctrl-click or whatever.
Be interesting to see everyone's opinions on this...