Yep, happened exactly this way at my last job. I was ridiculously underpaid, and I was attempting to negotiate about a month before pay reviews and was told to wait. My intentions were clear though.

The mandate came down - 3% for everyone more or less. I argued, and was politely shot down. Three weeks later I had a new job offer at a competitor I really wanted to work for. My current employer asked me how much it'd take to stay - "no dollar amount would keep me". I'm actually interested now how much they were willing to offer as a counter though.

New company has been really great with annual rises in the vicinity of about $10k.