Temporal analysis of X-ray binaries and Active Galactic Nuclei have shown that hard X-rays react to variation of soft ones after a time delay. The opposite trend, or soft lag, has only been seen in a few rare Quasi-periodic Oscillations in X-ray binaries and recently for the AGN, 1H 0707-495, on short timescales of ~ 10^3 secs. Here, we report analysis of a XMM-Newton observation of Mrk~1040, which reveals that on the dominant variability timescale of ~ 10^4 secs, the source seems to exhibit soft lags. If the lags are frequency independent, they could be due to reverberation effects of a relativistically blurred reflection component responding to a varying continuum. Alternatively, they could be due to Comptonization delays in the case when high energy photons impinge back on the soft photon source. Both models can be verified and their parameters tightly constrained, because they will need to predict the photon spectrum, the r.m.s variability and time lag as a function of energy. A successful application of either model will provide unprecedented information on the radiative process, geometry and more importantly the size of the system, which in turn may provide stringent test of strong general relativistic effects.