Following Graham (2000), this study evaluates the role of tax benefit curves in defining the risk appetite of selected Nigerian quoted firms in the setting of corporate debt policy. The non-financial corporations quoted on the Nigerian Stock Exchange (NSE) for the period 1999-2014 constitute the population of study. Out of these, 50 companies that met the minimum data criteria were selected as sample. Using a combination of the panel data least squares regression, Modigliani-Miller tax benefit formula, the Miller equilibrium and the Graham simulation technique, the research documents the following findings. First, firm-specific characteristics such as profitability, liquidity, size, market-to-book ratio and asset tangibility exert downward pressure on corporate borrowing consistent with pecking order arguments. In other words, asymmetric information rationalizes the aggressive debt posture of smaller, less profitable, less liquid firms with more risky intangible assets and low dividend-payers. The Kink and ZeroBenefit statistics are consistent with actual debt ratios being less than the trade-off model’s predictions. The study recommends the use of non-debt tax shelters for corporate tax planning, government simplification of tax administration.