From Altman’s evidence: The default premium seems more important than the other non-time premiums.

From de Jong’s evidence, ranking the remaining premiums: For investment-grade bonds, the liquidity and tax premiums seem to explain most of the return above the Treasury. Risk premiums are very small. For junk bonds, liquidity and risk premiums can become large. The risk premium is typically still lower than the liquidity premium. The tax premium becomes relatively small.