How to allocate assets of defined benefit(DB) pension plans has been one of the important topics in the pension literature. Theoretical works had proposed a moral hazard hypothesis leading to investment into risky assets(common stocks) and a tax effect hypothesis into safe assets(bonds). Noting that sponsors have invested pension assets primarily into safe assets under peculiar institutional and legal environment, we empirically investigate the influence of tax environment on the asset allocation. Data consist of listed companies sponsoring DB plans over 2006 through 2017. Empirical findings suggest increasing function between pension funding and effective tax rate and beyond certain threshold level decreasing function between them. Additional tests with subset data indicate weak association between asset allocation and effective tax rate. Empirical results with Korean data only provide partial support to the tax effect hypothesis which seem to be attributable to differential tax and insurance system surrounding DB plans.