Creating hyperlinks in excel to another workbook

I am trying to create an external reference (link) in excel to another workbook (source data).  However, once the links are created, I get the following error when opening the destination workbook:

If I then choose "Edit Links..." I see this:

These documents are both living in the same folder on a SharePoint site.  (Of which I am an owner.)  Any idea on how I can avoid these errors?