In a small bowl, sprinkle the yeast over the lukewarm milk. Stir briefly to combine and allow to sit until frothy, about 10 minutes.
In the bowl of a stand mixer fitted with a dough hook or a large bowl, combine the flour, sugar, and salt.
Mix in the frothy yeast with milk and egg until a soft dough comes together.
On a lightly floured surface, knead the dough until smooth and elastic. Transfer to a large bowl, cover, and refrigerate 8 hours to overnight.
Remove the chilled dough from the refrigerator and bring to room temperature for 30 minutes.
Cut the butter into 1/2 inch (1.25 centimeter) thick slices and arrange over a large piece of parchment in an 8x8 inch (20 x 20 centimeter) square.
Cover with another piece of parchment and hit the butter evenly with a rolling pin to bring the edges together, then roll into a 9x9 inch (23 x 23 centimeter) square.
Refrigerate the square of butter for 10 minutes, only enough to make it cool again but not completely solid. It should still be a little pliable without snapping.
On a lightly floured surface, roll the rested dough into a large 12x12 inch (30 x 30 centimeter) square.
Place the prepared sheet of butter in a diamond shape over the square with the corners placed towards the center of each dough edge.
Fold in the corners of the dough to meet in the center of the butter, pinching together the edges to fully enclose the butter.
Being careful to not crack the dough and expose the butter, roll the dough into a rectangle about 10x14 inches (25x36 centimeters) in size.
Fold 1/3rd of the dough inward towards the center followed by the other side to create three layers. Cover in plastic and refrigerate for 30 minutes.
Roll the dough out again and fold inwards again, then refrigerate another 30 minutes. Repeat the process two more times for a total of four times in all.