What drives expected returns in the global corporate bond market? Using a comprehensive dataset spanning 112 countries and 35 currencies from 1997 to 2021, we show that equity-market information dominates bond-specific and accounting-based characteristics in predicting returns. The most robust predictors are the debt-equity spread and short-term equity momentum, highlighting imperfect integration between equity and credit markets. Building on this insight, we introduce a novel equity-implied mispricing (EIM) factor and find that a parsimonious two-factor model comprising the market factor and EIM outperforms established multifactor specifications. Furthermore, contrary to equity market evidence, global and currency-based factor models substantially outperform local models outside the US. We trace this to the “dollar bias”of international investors and show that currency, not geography, is the primary driver of risk integration in global corporate bonds.