In dynamic models of asset markets with asymmetric information and endogenous screening, higher originator effort generally leads to more signaling through delay of sale. We test this theoretical prediction using the mortgage market as a laboratory and processing time as a measure of screening. Our findings are threefold: First, and in line with the theory, mortgage processing time and the delay of sale after origination are strongly positively related in the data. Second, processing time is longer for mortgages with higher ex ante credit risk, i.e., observably riskier loans are processed slower. Finally, both processing time and delay of sale are negatively related to conditional mortgage default, indicating that more screening effort leads to unobservably higher quality loans that are also sold with a longer delay.