UNITED STATES SECURITIES AND EXCHANGE COMMISSION Washington, DC 20549 FORM 8-K CURRENT REPORT Pursuant to Section 13 or 15(d) of the Securities Exchange Act of 1934 Date of report (Date of earliest event reported): October 18, 2005 Jefferies Group, Inc. -------------------------------------------------------------------------------- (Exact name of registrant as specified in its charter) Delaware 1-14947 95-4719745 -------------------------------------------------------------------------------- (State or other jurisdiction (Commission (IRS Employer of incorporation) File Number) Identification No.) 520 Madison Ave., 12th Floor, New York, New York 10022 -------------------------------------------------------------------------------- (Address of principal executive offices) (Zip Code) Registrant's telephone number, including area code: 212-284-2550 -------------------------------------------------------------------------------- (Former name or former address, if changed since last report) Check the appropriate box below if the Form 8-K filing is intended to simultaneously satisfy the filing obligation of the registrant under any of the following provisions (see General Instruction A.2. below): |_| Written communications pursuant to Rule 425 under the Securities Act (17 CFR 230.425) |_| Soliciting material pursuant to Rule 14a-12 under the Exchange Act (17 CFR 240.14a-12) |_| Pre-commencement communications pursuant to Rule 14d-2(b) under the Exchange Act (17 CFR 240.14d-2(b)) |_| Pre-commencement communications pursuant to Rule 13e-4(c) under the Exchange Act (17 CFR 240.13e-4(c)) Item 2.02. Results of Operations and Financial Condition On October 18, 2005, Jefferies Group, Inc. issued a press release announcing financial results for the quarter ended September 30, 2005. A copy of the press release is attached hereto as Exhibit 99 and is incorporated herein by reference. Item 9.01. Financial Statements and Exhibits The following exhibit is furnished with this report: Number Exhibit ------ ------- 99 October 18, 2005 press release issued by Jefferies Group, Inc. SIGNATURES Pursuant to the requirements of the Securities Exchange Act of 1934, the registrant has duly caused this report to be signed on its behalf by the undersigned hereunto duly authorized. Jefferies Group, Inc. Date: October 18, 2005 /s/ Roland T. Kelly ----------------------- Roland T. Kelly Assistant Secretary INDEX TO EXHIBITS Exhibit No. Description 99 October 18, 2005 press release issued by Jefferies Group, Inc.