We study the market pricing of the risks associated with uninsured bank deposits, finding that banks heavily reliant on uninsured deposits exhibit significantly higher average stock returns. During the March 2023 banking turmoil, banks with higher levels of uninsured deposits were more adversely affected; however, they experience higher returns during stable periods, which compensates for the run risk that they face. This relation between run risk and returns is evident in all banks except the largest and is particularly pronounced in those with liabilities sensitive to interest rate changes, significant asset-liability mismatches, and lower capital ratios.