This study aims to examines the effect of lower Effective Tax Rate (ETR) on firm risk. This study also tests whether family firm can reduce the positive effect of lower ETR on firm risk. The sample in this study is 85 firms that listed in Indonesia Stock Exchange 2011-2015. Total observation is 425 firms exclude financial sector, mining and construction firms. The result of this study shows that lower ETR (GAAP ETR and Cash ETR) affects on firm risk measured by stock return volatility. The result is different from study of Guenther et al (2017) who conducted in America with dispersed ownership. Meanwhile, the family firms, those are the majority of firms in Indonesia, has no effect on relation between lower ETR and firm risk.