This paper examines the predictability in the cross-sectional returns of corporate bonds across 112 countries and 35 currencies. With a broad set of bond- and issuer-specific return forecasting characteristics, we document significant heterogeneity in their effectiveness across different markets. Specifically, equity-linked characteristics exhibit robust and economically meaningful predictive power, highlighting imperfect integration between equity and credit markets. Our analysis further establishes the dominance of a global corporate bond market factor: alternative bond risk factors contribute little incremental explanatory power beyond this global factor, and it outperforms the domestic counterpart in multi-country settings. The above findings contrast with equity market evidence, suggesting that global bond return comovements are driven by a shared systemic risk component rather than idiosyncratic local risks.