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Pedestrians holding mobile phones walk past a stock quotation board displaying various countries' share indices, outside a brokerage in Tokyo September 9, 2013.YUYA SHINO/Reuters

It's now five years since the bankruptcy of Lehman Brothers tipped the world into a financial crisis. Stock markets have clawed their way back from the abyss, prompting observers to comment that "stock markets always come back." Alas, stock markets do not always come back.

For countries with reliable data back to 1921, close to a third suffered a permanent closure in their stock market due to war, invasion or revolution. The majority of the surviving stock markets experienced interruptions averaging several years. Only five avoided major breaks: U.S., Canada, U.K., New Zealand and Sweden. So says a paper by William Goetzmann of the Yale School of Management and Philippe Jorion of the University of California.

Nor is a visit from any of the Four Horsemen of the Apocalypse required, as illustrated by the contemporary case of the Japan. The Nikkei 225 has yet to return to its 1989 high of 39,000; it currently sits at 14,400, down 65 per cent over the past 24 years.

Of course, many other stock markets have brushed aside volatility and marched progressively higher over the decades. But past performance does not guarantee future performance.

This point was made, for example, by Financial Times of London investment columnist John Authers in his book The Fearful Rise of Markets. As Mr. Authers writes: "the historical era for which we have the most complete data involved a long period of peace and prosperity as the world recovered from two world wars, abandoned communism, and enjoyed many technological advances. There is no reason to assume that this can be repeated."

When it came out in 1993, Jeremy Siegel's book, Stocks for the Long Run, had a recommendation from Nobel-prize winning economist Paul Samuelson on the cover. However, it ended on an ominous note: "[But we may] ponder as to when this new philosophy [stocks for the long run] will self-destruct after Siegel's readers come someday to be universally imitated." Could the saturation phase now be at hand? After all, Robert Shiller's cyclically adjusted price-earnings ratio has shown serious overvaluation in U.S. stocks for much of the past decade.

By no means am I suggesting stocks should be jettisoned. My concern is that portfolio allocations tend to be too high when stocks are widely seen as risk free in the long run. A related concern is that many portfolios aren't rebalanced during the upswings.

Even when stocks do bounce back, the risk tolerances of many investors don't. They discover during bear markets that they misjudged the pain of "stepping down toward a poverty level," to paraphrase Mr. Samuelson. For them, it would be better to cut exposure when stocks are high.

Larry MacDonald is a retired economist who manages his own portfolio and writes on investing topics. He tweets at @Larry_MacDonald

READERS: Does your portfolio plan assume stocks will always "come back"? How do you guard against systemic risk?