© 2020 John Wiley & Sons, Ltd. There is a recent upsurge in calls for more women on corporate boards around the world; however, a perception of women being risk-averse that is created by lottery and gambling studies has affected women's advancement in their career ladder. Our study investigates women's risk averseness when they are on corporate boards in the context of a firm's use of debt financing. Using a unique Australian setting, we find that women on the board have a positive association with the firm's use of debt financing. This suggests that firms with women on the board are not conservative in using debt financing. Our results are robust to the use of alternative measures of gender diversity and to a series of sensitivity checks including propensity score matching, difference-in-differences and two-stage least square techniques.