First published in Illustrated London News, 27th November 1905
Collected in The Room in the Tower (1912)
(First read 14/06/2012)
More a psychopathological mystery than a spook story ~ in fact there aren't any spooks at all in it.
This one has to be read to be believed: apart from 'the shock thing', which probably wasn't new even in 1905, it's entirely devoid of sensible, coherent or even interesting ideas; the 'climax' is laughable; the pace is sluglike, and it is absurdly over-long.
Well, you may think differently: it's available online here.