Cox told US OK! magazine: "My acting teacher used to come out and she'd say, 'It's weird. I have a feeling in this house. I keep feeling drafts.'
"Another friend came out and they had a dream where they saw this woman in a white dress who sat down on a bed next to me. I still didn't believe it, but one day the doorbell rang and it was a FedEx guy. He goes, 'Are you aware that there is a spirit in this house?'
"And I go, 'No, why are you saying that?' And he said, 'Because they're standing right behind you.' I was like, 'Oh, s***' and then I moved house."
Cox has also shared earlier that her mind is very active -- even when she's not doing too much. She can be easily distracted.
She said: "My brain just goes. You wouldn't believe it. It could be anything from looking at a light to wondering if it's the same one we're going to get for the condo we're building... Why are those cabinets open? Should I get up now? I could go to the bathroom."
The actress said: "I'm sure I should be medicated, but I'm not."