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Zoredache
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Partly to prevent gaming the system.

Also consider that one of the features of the bounty is that your question is featured. You could look at this from the perspective that you are paying to have your question be advertised like a sponsored link. Just because you didn't get a good answer doesn't mean your question wasn't listed in the featured tab.

http://meta.stackoverflow.com/questions/56298/why-arent-bounties-refunded-if-they-are-not-awarded/56299#56299

Zoredache
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