I know that hosting, directly linking to, or embedding copyrighted content on my site goes against AdSense policies (please correct me if i'm wrong).

However, is it OK to create a link on my site that goes to the homepage of a site with copyrighted content, not the actual page that displays this content?

Of course it is perfectly alright to link to copyrighted material on websites.

OR

Are you asking if linking to sites/pages that allow illegal downloads of copyright material is alright?

Sorry, my question wasn't that great, I'm talking about the second of the two options.

While personally I would not condone the practise, Adsense is only related to the page content not anything external to the page. However anchor text is page content so that will affect what adverts get shown (if any).

yah, its ok... it only shows where or who is the original owner of the content and that shows respect.

why take chances?

chrishirst is right and clear.