Analyzing 563 trillion possible models, we find that the majority of tradable factors designed to price bond markets are unlikely sources of priced risk, and only one novel tradable bond factor, capturing the bond post-earnings announcement drift, should be included in the stochastic discount factor (SDF) with very high probability. Nevertheless, the SDF is dense in the space of observable factors, with both nontradable and equity-based ones being salient for pricing corporate bonds. A Bayesian model averaging–SDF explains corporate risk premia better than all existing models, both in- and out-of-sample, and captures business cycle and market crash risks.