You find a record kept by one of the society's historians pertaining to the "dreadful events" surrounding the closing of an old theatre in Arkham, the Cedar Playhouse. Though there is no explicit mention of The King in Yellow, you believe you are on the right track.
The historian's notes are cut short, and there is a faded, handwritten page clipped to the final entry.
This matter is too ghastly for the public eye. I am placing the remainder of this record in the hidden library. All further inquiries should be done away from prying eyes, for this is a dangerous matter, and not one to be researched lightly.