Yep, that happens. Presumably as a way to address the rumors of ghostly activity and the accusations of misogyny in one fell swoop, Rockstar Games went ahead and hid a she-spook in the latest game. If you want to see it for yourself, you'll need to: 1) be at Mount Gordo between 11 p.m. and midnight on the game's clock, and 2) make sure your cat isn't in the room while you're playing, because if it jumps on you when the ghost appears you're gonna die for real. Then there'll be two ghosts here, and we're not sure if we can handle that.
You can see the ghost only through a sniper scope, since it has intimacy issues and tends to disappear when you get too close. However, if you do have the balls to go stand on the rocks where the ghost used to be floating, you might notice it leaves a message written in blood:
Holy s**t! The killer is a sideways rabbit!
It says "JOCK" -- and what do you know, there's a character called Jock Cranley in the GTA universe who appears as an actor/stuntman in previous games and is running for governor in this one. Jock is mentioned in billboards, radio ads ... and, if you dig a little deeper, in this old news clipping about how his wife, Jolene, died in a mysterious accident on those same rocks, just as she was about to "ruin" his career:
We wholly support his quest to find the real killers.