There seem to be a lot of spectres floating about the vicinity of Grace Dieu Priory.
The link at the bottom, an article by Stephen Neale Badcock, gives you the full lowdown. He also mentions that Paul Devereux did a bit of research at the location. This is an excerpt from his 'Earth Lights' book (1982).
"In the north-west of Leicestershire are the ruins of Grace Dieu Priory and in the field alongside stands the remains of a monolith. In our research on the county Andrew York and I learned of a legend which stated that a 'White Lady' ghost could be seen in this field on rare occasions. It was supposed to be the ghost of one of the nuns belonging to the former priory. To our surprise we discovered that this was not merely a legend, but it was also claimed that people nowadays had allegedly seen the spectre, even that a country bus which which runs along a road down one side of the haunted field had, at night, stopped for a white figure only to find it was the ghost. It was our good fortune to learn of an eyewitness account of the phenomenon. According to this witness, on the bus one evening when one of these incidents occurred, the 'White Lady' was simply a softly glowing, misty column of light, not a figure at all, that floated off across the field. In daylight, this type of event, or something very similar, seems to appear more as a dark column of gaseous or cloudy substance - a veritable vapour.
To add to the interest, it seems that the site is pretty much on a large geological faultline - a feature thought to be often present where spooky lights (earthlights) are seen.