The building was first mentioned in the archives in 1503 and served as a coaching inn for generations. It is thought to be the oldest licensed premises in York. The inn gets its present name and distinctive sign from The Merchant Adventurers who owned it and who were responsible for the burgeoning woollen trade. The yard at the rear is named after Lady Alice Peckett, whose husband John was the Lord Mayor of York and also owned this historic inn around 1702. The cellar was once used to store the bodies of people hung at Bale Hill before their families came to claim them. During WWII a Canadian Airman is known to have died here but it is unclear exaclty how he passed. Paranormal visitors include 'One Eyed Jack', a 16th century man who paces the lower bar area, while the top bar plays host to the ghost of a young Victorian boy believed to have been trampled to death. The ghost of an old lady has been seen in both the Shambles Room and Lady Peckett's Room, while a younger lady dressed in black has been seen walking past the window inside St. Catherine's Room which is said to house an unnaturally oppressive feeling.

Prior to the "investigation proper" beginning a number of strange occurrences had already plagued the crew. Initially Stuart found himself locked in the toilet inside St Catherine’s room, which also allowed Karl to witness the toilet door handle moving from the outside assuming this to be Stuart. The inside handle however is disconnected from the external handle which Karl witnessed moving, of its own accord. Meanwhile Richard felt something tampering with his radio, placed in his back trouser pocket, which coincided with the soundman Jon describing how the lid to his pocket-knife had been continually removed for no known reason, while during the walk around both Stuart and Karl also experienced some form of touch to the mid rear-waist area. David Wells then revealed his belief that the spirit of a young 'pick-pocket' was present in the building. The separate walk around's with the two mediums brought about much corroborated information about former occupants, owners and documented tales of previous spiritual encounters. The vigils began with a Glass Divination experiment where the team, joined by Radio 1's Scott Mills and Mark Chapman, witnessed movement in response to questions about a highwayman named Robert, and his partner Laura. Following this the crew tried table-tipping, where significantly the table did move in response to a question where the correct answer had been pre-prepared in a sealed envelope, meaning no crew member could have know the correct dates that this landlord, Robert, resided in the building. Meanwhile St Catherine’s room appeared to be the hub of the evening's activity, where initially David and Karl investigated the toilet and a strange knock was heard followed by the tap turning on by itself. Later Yvette, Scott, Mark and Jon investigated the same room, where Yvette not only heard a deep rumbling laugh, but this was also picked up on sound to verify exactly what she had witnessed. Upon returning to the room with David he appeared to momentarily take on the voice of this disturbed spirit, believed to be the highwayman, as he shouted for them to 'Get Out'. During this and previous vigils in the room a number of light anomalies were also captured on film.