This paper investigates the role of common cross-stock factors in price discovery and liquidity provision in equity markets. Using principal components and canonical correlation analyses, the authors find that both returns and order flows are characterized by common factors. The commonality in order flows explains about half of the commonality in returns. Additionally, they examine the variation and common covariation in various liquidity proxies and market depth coefficients. While liquidity proxies such as the bid-ask spread and bid-ask quote sizes exhibit time variation that helps explain time variation in trade impacts, the common factors in these proxies are relatively small. The study uses data from the thirty Dow stocks, aggregated over fifteen-minute intervals, to construct high-frequency trading measures and frequently updated prices. The findings suggest that common factors in returns and order flows are significant, but the common factors in liquidity are less so, indicating that the determinants of liquidity variation are largely firm-specific.This paper investigates the role of common cross-stock factors in price discovery and liquidity provision in equity markets. Using principal components and canonical correlation analyses, the authors find that both returns and order flows are characterized by common factors. The commonality in order flows explains about half of the commonality in returns. Additionally, they examine the variation and common covariation in various liquidity proxies and market depth coefficients. While liquidity proxies such as the bid-ask spread and bid-ask quote sizes exhibit time variation that helps explain time variation in trade impacts, the common factors in these proxies are relatively small. The study uses data from the thirty Dow stocks, aggregated over fifteen-minute intervals, to construct high-frequency trading measures and frequently updated prices. The findings suggest that common factors in returns and order flows are significant, but the common factors in liquidity are less so, indicating that the determinants of liquidity variation are largely firm-specific.