In this paper, we identify cross-sectional anomalies in excess returns of industrial bonds at the issuer and secondary market levels, and find that liquidity, risk, and historical return variables can generate cross-sectional excess returns that cannot be explained by traditional bond factors. We also introduce a risk premium factor that is economically and statistically significant in industrial bonds based on the risk characteristics prevalent in credit bonds and that cannot be explained by long-standing bond market factors. We show that the newly identified risk factor outperforms the other anomalies considered in this paper in explaining the cross-sectional returns of industrial bonds.