We test the asset-pricing impact of non-linear dependence. In an experimental setting, we show that investors consider non-linear dependence in their portfolio selection decisions. Extending these laboratory results, we corroborate this relationship in the cross-section of U.S. stock returns. Importantly, this result remains even after controlling for the exposure to implied correlation. Overall, these findings are consistent with an increased demand for assets that provided hedging benefits during market downturns, suggesting that investors place a premium on non-linear dependence.