Pre-market underpricing is a well-documented phenomenon in initial public offerings

worldwide. While many studies have identified various factors behind IPO underpricing, there

are limited studies in the context of smaller and highly regulated markets such as Nasdaq

Stockholm. The purpose of this thesis is to identify and evaluate the key factors influencing

deliberate pre-market underpricing for IPOs listed on Nasdaq Stockholm. To achieve this, this

study analyzes Swedish IPOs from 2014 to 2024, using modern statistical techniques.

Specifically, Elastic Net variable selection and Stochastic Frontier Analysis (SFA). These

models are applied to robustly identify the most important drivers of underpricing and are

supported by extensive robustness and sensitivity checks. The results show that firm-specific

financial variables, especially recent profitability, are the dominant determinants of

pre-market underpricing in IPOs on Nasdaq Stockholm. While behavioral and

macroeconomic variables have little to no significant impact in this context. These findings

highlight the importance and central role of financial health in IPO pricing on a transparent

and highly regulated market, and suggest that behavioral and macroeconomic factors have

limited influence and may be highly context dependent.