FOR IMMEDIATE RELEASE

JEFFERIES GROUP ANNOUNCES FINANCIAL RESULTS FOR THIRD QUARTER AND FIRST NINE MONTHS

Net revenues up 14% to $341 million
Net earnings up 19% to $46 million
Earnings per share up 14% to $0.32

NEW YORK, October 17, 2006 -- Jefferies Group, Inc. (NYSE: JEF) today announced financial results for the third quarter ended September 30, 2006.

Highlights for our third quarter ended September 30, 2006 include:

• Net revenues were up 14% to $340.6 million, versus $299.3 million for the third quarter of 2005.
• Net earnings were up 19% to $45.9 million, compared to $38.6 million for the third quarter of 2005.
• Earnings per share (diluted) were up 14% to $0.32, compared to $0.28 for the third quarter of 2005.
• Investment banking revenues were up 35% to $144.8 million, versus $107.6 million for the third quarter of 2005.
• Total trading revenues were up 3% to $166.9 million, versus $162.6 million for the third quarter of 2005.

Highlights for the nine months ended September 30, 2006 include:

• Net revenues were up 26% to a record $1.1 billion, versus $861.8 million for the first nine months of 2005.
• Net earnings were up 35% to a record $150.0 million, compared to $110.7 million for the first nine months of 2005.
• Earnings per share (diluted) were up 27% to a record $1.04, compared to $0.82 for the first nine months of 2005.
• Investment banking revenues were up 21% to a record $395.4 million, versus $327.5 million for the first nine months of 2005.
• Total trading revenues were up 26% to a record $561.7 million, versus $447.2 million for the first nine months of 2005.

"We thank our clients and employee-partners, who enabled us to complete the best third quarter in Jefferies history, and we look forward to doing our best in the fourth quarter as we attempt to complete our seventh consecutive record year," commented Richard B. Handler, Chairman and Chief Executive Officer of Jefferies.

Conference Call

A conference call with management discussion of financial results for the third quarter ended September 30, 2006 will be held October 17 at 9:00 AM eastern and can be accessed at (706) 634-9290. A replay of the call will be available approximately two hours post-call at (402) 977-9140 (reservation number: 21306491). A live audio webcast and delayed replay will also be available at www.jefferies.com/3QEarnings2006. Questions for consideration by management can be submitted in advance through the .Contact Us. function at www.jefferies.com or by calling 203-708-5975 by 8:30 AM Eastern on October 17.

About Jefferies

Jefferies, a global investment bank and institutional securities firm, has served growing and mid-sized companies and their investors for nearly 45 years. Headquartered in New York, with more than 25 offices around the world, Jefferies provides clients with capital markets and financial advisory services, institutional brokerage, securities research and asset management. The firm is a leading provider of trade execution in equity, high yield, convertible and international securities for institutional investors and high net worth individuals. Jefferies & Company, Inc. is the principal operating subsidiary of Jefferies Group, Inc. (NYSE: JEF; www.jefferies.com).

Press Release in PDF format (financials included)

Contact:
Joseph A. Schenk
(212) 284-2338