The present study aims at investigating, at first, the relationship between the features of loss-making companies and the probability of achieving the first profit in the years following the loss; and then, analyzing the relationship between probable profitability of the loss-making companies and future abnormal return on shares. This study is carried out according to the information available on the companies listed on Tehran Stock Exchange, during 2002-2011, on a selected sample consisting of 72 companies. The method used for hypotheses testing is logistic regression and generalized regression model (linear mixed model). The results obtained from hypotheses testing for return on loss model in this study indicate the existence of a significant positive relationship between the level of the loss-making companies' investment in capital assets and the probability of return on loss; the existence of a significant negative relationship between accounting conservatism level and the probability of profitability; as well as lack of relationship between special expenses (R & D, sales promotion, inventions and discoveries) and the probability of return on loss. The results from the final model test show the significant positive relationship between the probability of return on loss and abnormal return on shares of the companies. The main limitation of the current study is the lack of proper disclosure of some of the variables of this study by firms, including investing in specific costs in financial statements and notes as separate and distinct costs from other expenditures.

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