AssemblyResolve not fired with anonymous handler

Question

I'm trying to resolve dynamically loaded assemblies, but the AssemblyResolve event does not appear to work with anonymous functions.

private void Load() {
    ResolveEventHandler resolve = (sender, args) => Assembly.LoadFile(pathToDependency);

    AppDomain.CurrentDomain.AssemblyResolve += resolve;
    AppDomain.CurrentDomain.AssemblyResolve += this._AssemblyResolve;
    Assembly.LoadFile(pathToDll);
}

private void _AssemblyResolve(Object sender, ResolveEventArgs args) {
    return Assembly.LoadFile(pathToDependency);
}

this._AssemblyResolve and resolve are virtually the same function, except that the anonymous resolve function creates a closure that uses a variable defined in the Load method.

For some reason, this._AssemblyResolve gets called, but resolve doesn't. Why?

I can't really rely on the _AssemblyResolve method because the method needs to know about a variable that is defined in the Load method. I can use a workaround, but I still don't understand why the anonymous function doesn't work.