Thinking more about it, that information shouldn't really come as a surprise. After all, Prince Arthur was deeply involved in Sir Bagdemagus's affairs and, by extension, in the old knight's death. Logically, he should be the one with the most information.
The prince jumped on his horse and left the estate, while Emery concentrated his spirit reading ability to track him down.
Right as the horse ran, he ran. He used everything he had, from [Blink] and [Hide in Shadow], he kept himself at the closest safe distance possible. This was the most solid lead he had; he would not let the prince go that easily.
He kept on following him, even if he had to do everything in his power to stay out of detection. He followed Prince Arthur and watched the golden prince do his daily activities from afar, ranging from a casual stroll in the city, training with the knights on the city's outskirts and returning to the palace.
Please note that some of their coversation might not be the truth