One is the risk of default, for which they would expect a credit risk premium. Yet the estimated credit risk premium exceeds the average credit spread in the first half (1947-1985) but falls well below it in the second half (1986-2022). Credit spreads include both credit risk premia and expected default losses on bonds. The effect of that in the last 50 years is that the estimated credit risk premium falls far below the average credit spread. The paper empirically disentangles the credit risk premium and the term premium for corporate bonds by overcoming the limitations of long-run bond return data.