In most published editions of the story, the location given is demurely obfuscated as 'B—'. However, in the original handwritten manuscript, which resides in the Cambridge University Library, the place name is stated clearly as 'Bicester'.

M.R. James travelled extensively throughout England during his lifetime, and it seems that he visited Bicester and drew upon his memories of the town, including a number of recognisable local locations in the story.

1. The King's Arms Hotel

The story takes the form of a series of letters written by a man summoned to Bicester shortly before Christmas to take part in the search for his clergyman uncle who has gone missing. His second letter sees him arriving in Bicester on 23rd December 1837 and taking a room at the 'King's Head', an inn described as overlooking the market square.

Those familiar with Bicester will know that while there was previously a King's Head Inn in Bicester, it is the King's Arms Hotel which overlooks the market square and it is to this that M.R. James is undoubtedly referring.

The King's Arms is a grade II listed building from the 18th century that was one of two large coaching inns in Bicester at the time the narrative is set, the other being the Crown Hotel, which previously stood on the site now occupied by the Crown Walk shopping centre.

2. Woodstock

On Christmas Eve, the narrator joins officers from Bow Street and other locals in a search of the nearby fields around the town in the hope of finding his missing uncle, but to no avail. In the evening he meets a fellow resident of the inn, a 'bagman' or travelling salesman, who tells him in glowing terms of an excellent Punch and Judy show that he had witnessed that day at 'W—'.

I've not had the pleasure of viewing the original manuscript of the story to confirm what location this is, but Woodstock seems the most likely. Witney is another possibility for 'W—', though more distant and so less likely in my opinion, given we later learn that the Punch and Judy man has travelled between the two towns on foot in the space of a day.

On Christmas Eve night, the narrator is troubled by a terrifying dream featuring a sinister Punch and Judy show in which the character of Punch commits a series of horribly visceral murders before being pursued by a terrifying hooded figure.

3. St. Edburg's Church, Bicester

The following day, the narrator joins the townsfolk at the Christmas Day service. This would have taken place at St. Edburg's Church, Bicester, just a short walk from the King's Arms Hotel. Little description if given of the church building, but the narrator describes a number of ominous and unsettling occurrences that disrupt the Christmas service.

In 1837, the interior of the church would have looked quite different to how it does now. In the 1860s, the older high-backed boxed pews were removed and replaced with newer ones, a change that would have undoubtedly displeased M.R. James, who, as an antiquarian, was generally opposed to any sort of modernisation of historic buildings.

During the period in which the story is set, it is likely that the various important families of Bicester would have had their own pews reserved for them, and indeed named after them, in the church. In the story, the landlord tells the narrator that he should ask to be shown to the 'King's Head pew', suggesting that the hotel also had its own pew reserved for the benefit of the hotel's residents.

4. Market Square

Christmas day afternoon sees the climax of the story. The narrator sees that the promised Punch and Judy show is being set up in the market square below his window at the hotel and, despite his unpleasant dream, resolves to watch it from his window.

As with the church, the market square would have looked very different in 1837. The block of buildings that stand in the square, bookended today by A-Plan Insurance and Market Square Fish and Chips, would not have been built until considerably later, and the car park would of course have been absent!

5. Local quarries

I won't spoil the climactic scene of the story, but it ends with a chase, leading to the discovery of the body of the the narrator's uncle buried in a chalk pit a short distance from the town.

It's doubtful that M.R. James would have been thinking of a specific local quarry when he wrote the story, as it seems unlikely that M.R. James would have been familiar with such locations, but we could imagine it to be any of a number of quarries that existed close to Bicester during the period. There are three that can be seen just to the north of the town centre on 19th century maps.

The other M.R. James story that can be considered to be set in Oxfordshire is The Mezzotint. Mr Williams, the story's protagonist, holds a post at what is referred to as the 'Shelburnian Library', clearly a play on Oxford's Sheldonian Theatre and Bodleian Library.

This establishment is described obliquely as being part of 'another university'. Any doubt that this university is Oxford is dispelled at the end of the story when another character, a Cambridge academic, comments scathingly of Mr Williams' story:

We are later told that the haunted Mezzotint picture that features in the story now resides at the 'Ashleian museum', clearly a play on Oxford's Ashmolean museum.

M.R. James at Burford

One final story with a very interesting Oxfordshire setting was sadly never published during M.R. James's lifetime. The story is known as Speaker Lenthall's Tomb, and its manuscript only exists in fragments in the Cambridge University Library. It's unknown why M.R. James chose not to complete or publish the story. It's possible that he was unsatisfied with the story's content, which features a lot of plot elements that he ultimately used in other stories, such as An Episode of Cathedral History (church renovations with unintended consequences) or The Ash Tree (people attacked by large spiders in their beds). This is a shame as what exists of it paints the outline of a very interesting ghost story set in Burford, Oxfordshire.

The story centres around one of Burford's most interesting sons, William Lenthall (1591–1662), who was speaker of the House of Commons during the 17th century and famously defied Charles I when the king burst into the House of Commons and attempted to arrest five MPs in 1642. William Lenthall retired to Burford to reside at Burford Priory and was buried in a tomb at St. Mary's Church, his epitaph simply reading Vermis sum ('I am a worm').

In Speaker Lenthall's Tomb, plans are made to renovate the interior of St, Mary's Church, work that would disturb the tomb of the rather fearful Lenthall, with typically Jamesian consequences.

It's a shame that Speaker Lenthall's Tomb was never completed and published as it features a lot of local flavour of Burford, and could have made the town, particularly the church, a place of pilgrimage for M.R. James fans to rival other locations that feature in his stories, such Aldeburgh and Felixstowe.

The Story of an Appearance and a Disappearance and The Mezzotint feature in most inexpensive collections of M.R. James's stories, but if you would like to also read what exists of Speaker Lenthall's Tomb then I recommend purchasing 'Curious Warnings: The Great Ghost Stories of M.R. James' (ed. Stephen Jones, Jo Fletcher Books 2012)