Goldman Sachs Group Inc. lost a bid to dismiss a shareholder lawsuit alleging it made material misstatements in its own securities filings about its conflicts of interest in several complex securities transactions, including the now-infamous Abacus 2007 deal.

In a 27-page opinion, Judge Paul A. Crotty of the U.S. District Court in the Southern District of New York said the shareholders, led by the Arkansas Teacher Retirement System and other pensions, sufficiently argued that Goldman made material misstatements about its...