Numerous Bayesian methods of phenotype prediction and genomic breeding value estimation based on multilocus association models have been proposed. Computationally the methods have been based either on Markov chain Monte Carlo or on faster maximum a posteriori estimation. The demand for more accurate and more efficient estimation has led to the rapid emergence of workable methods, unfortunately at the expense of well-defined principles for Bayesian model building. In this article we go back to the basics and build a Bayesian multilocus association model for quantitative and binary traits with carefully defined hierarchical parameterization of Student's t and Laplace priors. In this treatment we consider alternative model structures, using indicator variables and polygenic terms. We make the most of the conjugate analysis, enabled by the hierarchical formulation of the prior densities, by deriving the fully conditional posterior densities of the parameters and using the acquired known distributions in building fast generalized expectation-maximization estimation algorithms.T HE availability of the genome-wide sets of molecular markers has opened new avenues to animal and plant breeders for estimating breeding values on the basis of molecular markers with and without pedigree information (Bernardo and Yu 2007;Hayes et al. 2009;Lorenzano and Bernando 2009). The same holds true for phenotype prediction in human genetics (Lee et al. 2008;de los Campos et al. 2010). There are clearly two very different model approaches to estimate genomic breeding values, the first of which applies simultaneous estimation and variable selection to multilocus association models, where all markers are included as potential explanatory variables (e.g., Meuwissen et al. 2001;Xu 2003). Multilocus association models assign different, possibly zero, effects to every marker allele or genotype and determine the genetic value of an individual as a sum of the marker effects. The second approach is to utilize the marker information for estimating realized relationships between individuals and use the marker-estimated genomic relationship matrix instead of the pedigree-based numerator relationship matrix in a mixed-model context (e.g., VanRaden 2008;Powell et al. 2010).In recent literature there are numerous Bayesian methods of phenotype prediction and breeding value estimation based on multilocus association models, from Meuwissen et al. (2001) BayesA and BayesB onward (e.g., Xu 2003;Yi et al. 2003;Yi and Xu 2008;de los Campos et al. 2009;Verbyla et al. 2009Verbyla et al. , 2010Mutshinda and Sillanpää 2010;Sun et al. 2010;Habier et al. 2011;Knürr et al. 2011). The Bayesian methods have proved workable, efficient, and flexible, but the tremendous number of markers in the modern SNP data sets makes the computational methods traditionally connected to Bayesian estimation, e.g., Markov chain Monte Carlo (MCMC), rather cumbersome or even infeasible. For the same models fast alternative estimation procedures have been proposed, most commonly ...