FOR IMMEDIATE RELEASE

Jefferies Announces the Retirement of John Shaw as President and Director

NEW YORK--(BUSINESS WIRE)--July 18, 2005--Jefferies Group, Inc. (NYSE: JEF) today announced the retirement of John C. Shaw, Jr. as President and a member of the firm's Board of Directors.

Mr. Shaw, 58 years old, has been with Jefferies & Company, Inc., the firm's principal operating subsidiary, for twenty-two years. Mr. Shaw served as a Regional Manager of the firm's Equity Division in both Chicago and Boston, as the National Sales Manager, as Co-President and Co-Chief Operating Officer and, since 2001, as President and Chief Operating Officer. He was elected to the Board of Directors of Jefferies Group, Inc. in 2000.

"John has been a significant contributor to the growth of Jefferies," commented Richard Handler, Chairman and CEO of Jefferies, "As my partner, John has worked closely with me in developing a plan to grow and diversify Jefferies' business over the past five years. I will miss his wise counsel, but I understand and respect his desire to retire and spend more time with his family. On behalf of all of our shareholders, clients, and employee-owners at Jefferies, we thank John. He has represented the heart and soul of Jefferies and will be sorely missed."

Mr. Shaw's retirement is effective immediately. Mr. Handler has assumed Mr. Shaw's title as President.

About Jefferies

Jefferies, a global investment bank and institutional securities firm, has served growing and mid-sized companies and their investors for over 40 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).

CONTACT:
Jefferies Group, Inc.
Tom Tarrant, 203-708-5975
ttarrant@jefferies.com

SOURCE: Jefferies Group, Inc.