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                                                                    EXHIBIT 23



                         INDEPENDENT AUDITORS' CONSENT




The Board of Directors
Jefferies Group, Inc.:


We consent to incorporation by reference in the Registration Statements No.
2-94727 dated December 6, 1984; No. 33-17065 dated September 8, 1987; No.
33-19741 dated January 21, 1998; No. 33-64318 dated May 27, 1993; No. 33-64490
dated June 15, 1993; No. 33-52139 dated February 3, 1994; No. 33-54373 dated
June 30, 1994; No. 33-02489 dated April 12, 1996, and No. 333-84079 dated July
29, 1999, all on Form S-8, and No. 33-54265 dated July 14, 1994, and No.
33-40263 dated December 5, 1997, both on Form S-4 of Jefferies Group, Inc. of
our report dated January 17, 2001, relating to the consolidated statements of
financial condition of Jefferies Group, Inc. and subsidiaries as of December
31, 2000 and 1999, and the related consolidated statements of earnings, changes
in stockholders' equity and cash flows for each of the years in the three-year
period ended December 31, 2000, which report appears in the December 31, 2000
annual report on Form 10-K of Jefferies Group, Inc.


                                        /s/ KPMG LLP

                                            KPMG LLP


Los Angeles, California
March 29, 2001