We investigate risk and return in the major corporate bond markets of the developed world. We find that average returns increase with maturity and ratings class (where ratings go from high to low) and that this pattern is fit well by a global CAPM model, where the market consists of equity, sovereign and corporate bonds. Nonetheless, we strongly reject "asset class integration," finding a model which separates the market portfolio into its three components to fit much more of the corporate bond return variation. The corporate bond factor receives much higher exposure than suggested by its relative market capitalization. We also strongly reject "international market integration" local factors contribute substantially more to the variation of corporate bond returns than do global factors, and a "local" three-factor model explains more than 80% of the return variation for 59 of 63 portfolios examined. The factor exposures show intuitive patterns; for example, the corporate bond factor betas increase steeply as ratings worsen. Our results are robust to the use of hedged versus unhedged returns and also show up in a panel regression at the CUSIP level.