In Wooldridge's book (Page 452), it says
When linear absolute deviation (LAD) methods are applied alongside OLS, thre are often reasons to think a priori that OLS and LAD will not produce similar slope estimates. (in fact, it is unlikely that the conditional mean and conditional median are both linear in $x_i$).
I understand that LAD estimates and OLS estimates are generally different, but the words in parentheses confuse me. Why they cannot be both linear? Could anyone give me an example?