This paper investigates the role of common factors in price discovery and liquidity provision in equity markets, focusing on the thirty Dow stocks. Using principal components and canonical correlation analyses, the authors find that both returns and order flows are characterized by common factors. Commonality in order flows explains roughly half of the commonality in returns. They also examine variation and common covariation in various liquidity proxies and market depth coefficients. Liquidity proxies such as bid-ask spread and bid-ask quote sizes exhibit time variation, which helps explain time variation in trade impacts. The common factors in these liquidity proxies are relatively small. The study uses high-frequency data from the NYSE’s TAQ database to analyze the thirty Dow stocks. The authors find that common factors exist in the order flows and returns of the 30 stocks in the Dow Jones Industrial Average (DJIA). The common factor in returns is highly correlated with the common factor in order flows. Evidence of a common factor in quote-based liquidity proxies is found, as well as to a lesser degree in inferred price impact coefficients, after controlling for previously documented time-of-day seasonalities. The paper explores the relationship between liquidity and price impact, finding that the common factors in liquidity are relatively small. The study also finds that the determinants of variation in liquidity are largely firm-specific, and that the strong common liquidity factors suggested by market crises do not appear to exist in normal trading regimes. The results suggest that while common factors exist in price and order flows, they do not fully explain the common variation in liquidity. The findings have implications for both microstructure theory and institutional trading practice.This paper investigates the role of common factors in price discovery and liquidity provision in equity markets, focusing on the thirty Dow stocks. Using principal components and canonical correlation analyses, the authors find that both returns and order flows are characterized by common factors. Commonality in order flows explains roughly half of the commonality in returns. They also examine variation and common covariation in various liquidity proxies and market depth coefficients. Liquidity proxies such as bid-ask spread and bid-ask quote sizes exhibit time variation, which helps explain time variation in trade impacts. The common factors in these liquidity proxies are relatively small. The study uses high-frequency data from the NYSE’s TAQ database to analyze the thirty Dow stocks. The authors find that common factors exist in the order flows and returns of the 30 stocks in the Dow Jones Industrial Average (DJIA). The common factor in returns is highly correlated with the common factor in order flows. Evidence of a common factor in quote-based liquidity proxies is found, as well as to a lesser degree in inferred price impact coefficients, after controlling for previously documented time-of-day seasonalities. The paper explores the relationship between liquidity and price impact, finding that the common factors in liquidity are relatively small. The study also finds that the determinants of variation in liquidity are largely firm-specific, and that the strong common liquidity factors suggested by market crises do not appear to exist in normal trading regimes. The results suggest that while common factors exist in price and order flows, they do not fully explain the common variation in liquidity. The findings have implications for both microstructure theory and institutional trading practice.