A group of Chinese tourists filmed the stained glass window in Scotland without realising that it featured Princess Di from beyond the grave.
The video - which was later passed on to Cohen - appears to show a ghostly-looking image resembling Diana.
And Cohen is convinced the short snippet of footage could well be evidence or paranormal activity.
'Scientists tell us that ghosts don't exist, and yet people around the world keep seeing them,' he said.
'While we might not want nothing to do with the dead, perhaps some ghosts have unfinished business with us.'
Cohen goes on to claim the shot as one of the 'clearest' paranormal images he has come across.
'The footage is currently being examined by myself and other researchers to ascertain if it is a genuine ghost capture. It might be a bizarre optical illusion, but then again, it could be a ghost - possibly Princess Diana's.
'Ghosts often appear in places connected to their lives and families. Ghosts might appear to warn individuals, groups and even entire nations of possible impending danger.'
The Princess of Wales' mother is believed to have spent a lot of time in Scotland, passing away there in 2004.
The footage is being used in an upcoming TV series on Paranormal mysteries.