The relationship between twice the adjusted daughter yield deviation (DYD) of the son and the average of the estimated breeding values (EBV) of his parents was investigated for milk and fat yield. Deviations from expectations of DYD minus the pedigree index and the regression of DYD on the EBV for each of the parents were estimated. The EBV of each bull dam was calculated in several ways using different combinations of pedigree information and their own records. In all, 1693 bulls (880 Black and White (BW), 418 Red Danish (RD) and 395 Danish Jersey (DJ)) with Direct Updating indices for milk and fat yield were included in the investigation. Mean discrepancies between estimated and observed genetic merit for kg of milk yield were −348 for BW, −213 for RD and −228 for DJ, when all of the bull dams' individual records were utilized in breeding value estimation. The corresponding mean discrepancies for kg of fat yield were −14.7, −11.5 and −11.9, respectively. The discrepancies were positively correlated with the number of lactation records included in the dams' EBVs. Regression coefficients of bull DYDs on bull dam breeding values were significantly lower than expected for RD and BW regardless of the number of individual lactation records included in the dams' indexes for milk and fat yield. For all three breeds, the regression coefficients were lowest for fat yield. The most probable cause of overestimation in bull dam EBVs is preferential treatment, particularly in second and later lactations. To avoid this bias, estimation of a bull dam's breeding value should be based on pedigree information and on records from only her first lactation.