When faced with nonlinear prices, do consumers respond to marginal or average price? Or, as this paper explores, do they simply misunderstand nonlinear prices? Using a rich dataset that exploits a natural experiment of electricity consumers in British Columbia, Canada, this paper finds evidence of marginal cost responsiveness|in contrast to recent literature. A deeper examination, however, suggests this result is driven by a small share of households who misperceive the tariff. This finding highlights the important role misperception can play in consumer responsiveness to nonlinear pricing and serves as a methodological caution to consider heterogeneous treatment effects.