The interrogation by a six-member team headed by Deputy Superintendent of Police Deepak Deoraj lasted for 13 hours till late Tuesday night.
The questioning could continue on Thursday. Deoraj parried questions on whether any clue was yielded.
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There were allegations he killed himself following harassment by the employees of Tata Steel.
A departmental inquiry into the circumstances leading to Deshpande's death has also been ordered by Tata Group chairman Cyrus Mistry
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