Book section: In this chapter, we draw attention to the potential flaws historical financial data sets might embed. The way in which historical financial data have been gathered and constructed is even more important than for recent data. For data users, overlooking these potential flaws can affect the reliability of the underlying analysis. For data collectors, considering them can lead to data of better quality. To illustrate, we first discuss the general issues that may affect stock and bond data. Next, we examine in more detail the data items needed to construct equity and bond market indices as well as the consequences of not having these items. An appendix provides an overview of the existing cross-sectional historical datasets.