Find That Book

I read a book some years ago about a woman who is searching for the main spirit of a city. The spirit's name is something like "The Grey Lady" and she has not been seen in a long enough time that people are starting to worry. The book is a mystery novel. (SPOILERS) I remember that the ending reveals that an older lady at the supernatural experiences club the main character attends ends up being the grey lady. The explanation is that a group of businessmen had sacrificed one of the cleaning ladies(?) in order to summon the grey lady and request a wish when the woman dies. However, nothing seems to happen and they end up leaving. It turns out that the cleaning lady wasn't dead yet and the grey lady only appears right before the sacrifice dies. With no one in the room except the woman being sacrificed, the Grey Lady grants her last wish. The woman is unaware the Grey Lady can grant wishes and says something along the lines of "I don't want to die". The Grey Lady can't save her but ends up taking over her life in order to fulfill the dying woman's wish. Somehow, she ends up forgetting that she is the Grey Lady. However, when the main character confronts her after having put it together, she remembers and returns to being the Grey Lady.
This has been driving me nuts all week.