This is a partial transcript from "On the Record," October 3, 2005, that has been edited for clarity.
GRETA VAN SUSTEREN, HOST: A desperate search is underway tonight for a missing Tennessee woman. Seventy-two-year-old Francis Graham and her boyfriend's son were allegedly kidnapped in broad daylight on September 18th. Her boyfriend's son says he escaped after several days in captivity but his story is raising questions tonight. He will join us in a moment.
But first, Blount County Chief Deputy Ron Dunn joins us live on the phone, welcome chief.
CHIEF RON DUNN, BLOUNT COUNTY SHERIFF'S DEPT. (by telephone): Hello, Greta, how are you tonight?
VAN SUSTEREN: Very well.
Chief, any clues tonight in terms of what might have happened to this woman?
DUNN: Since we had talked last week, Greta, we spent the day with Mr. Dockery yesterday. We had teams of detectives out in the community where they live, along with the Monroe County Sheriff's Office.
We spent all day with him yesterday going over his story and his accounts of that four-day ordeal. And without going into specific details, we have been able to discredit more of his story than we have been able to credit at this particular point.
VAN SUSTEREN: Now this kidnapping supposedly occurred in broad daylight. Have any eyewitnesses come forward to say they saw the kidnapping or saw something peculiar?
DUNN: No. No, there have been no witnesses come forward that we're aware of. Where Mr. Dockery alleges he left his car and claims that it sat for four days, we've talked to the people there in the business and no one ever saw that vehicle there during that four-day period.
VAN SUSTEREN: Have you been able to determine what kind of relationship Arthur Dockery has with the girlfriend of his father?
DUNN: It's really hard to determine that at this point. Mr. Dockery had only been back in his father's home for about a ten-day, two-week period this last stay there with his father.
VAN SUSTEREN: What does Arthur do?
DUNN: He had been a truck driver.
VAN SUSTEREN: A successful truck driver for a long period of time?
DUNN: Yes. He had apparently driven over the years for an extended period of time and apparently had lost his job there approximately three, four weeks ago now.
VAN SUSTEREN: I read today one account where it says that during the course of the kidnapping that Arthur made a phone call, not to the police but to his sister in Michigan. Have you been able to verify that a call was made from his cell phone while he was captive?
DUNN: Yes. We verified that there was a call made from his phone. We verified that it hit a repeater in Mt. Vernon, Illinois. And we also spoke to his sister there early on in this investigation who confirmed that there was a brief conversation with him, yes.
VAN SUSTEREN: And what was the content of that conversation?
DUNN: It was just very brief. "I've been abducted. I've been taken captive. I need help" and then very abruptly cut it off. He said, "Here they come."
VAN SUSTEREN: All right, now when you say that it hit a repeater in Mt. Vernon, does that suggest that he was in the area of Mt. Vernon or is that just sort of the tracking of the cell phone towers?
DUNN: That would typically tell us he was probably within a five-mile radius of that tower at the time the phone call was placed.
VAN SUSTEREN: I take it that there have been no efforts to claim a ransom for the missing woman, right?
DUNN: No. No, none that we're aware of whatsoever.
VAN SUSTEREN: He said that he was going out shopping with her on September 18. Do you know what he was going to buy or what was the purpose of the shopping trip?
DUNN: They had gone to the laundry mat was the plan when they left home according to the elder Mr. Dockery and they came on to Maryville which is approximately 70 miles away. They went to a Home Depot store and purchased an axe, a splitting wedge and a chain for a chain saw. They left there and went to a local Wal-Mart store where he bought a roll of duct tape.
VAN SUSTEREN: All right, have you found, have you located all those items?
DUNN: We have those items in our custody, yes ma'am.
VAN SUSTEREN: Anything peculiar about any of them? Does for instance does the axe look like it's been used?
DUNN: I can't comment on that at this time.
VAN SUSTEREN: All right. Any of the other -- I mean was the duct tape, was the tape -- is it duct tape?
DUNN: The duct tape had been opened, yes ma'am.
VAN SUSTEREN: All right. Did he say why he opened the duct tape that he had just purchased?
DUNN: He gave us a story but we were unable to confirm that story. As a matter of fact, we don't think the story that he gave us was accurate.
VAN SUSTEREN: All right. All the items that he purchased did they look like, you know, the tags had been pulled off them or anything? What was the condition of the items?
DUNN: I can't answer that. I know the duct tape was opened but the other items I have not viewed personally.
VAN SUSTEREN: All right, chief, thank you.
DUNN: Thank you very much.
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