In this paper, we analyze refund policies as a signaling device in first-price and second-price auctions. When the seller's value follows a two-point distribution, we characterize all equilibria of the auction game. A strong intuitive criterion selects the separating equilibria and they all yield the same (completely revealing) equilibrium outcome. When the seller's value follows a continuous distribution, we show that a completely separating equilibrium does not exist, but characterize all fully pooling and one partially pooling equilibria.