<PAGE>   1
                                                                      EXHIBIT 11

                            MORGAN STANLEY GROUP INC.
                        COMPUTATION OF EARNINGS PER SHARE
                        (IN MILLIONS, EXCEPT SHARE DATA)

<TABLE>
<CAPTION>
                                                 FISCAL          FISCAL          FISCAL
                                               YEAR ENDED     PERIOD ENDED     YEAR ENDED
                                               NOVEMBER 30     NOVEMBER 30     JANUARY 31
                                                  1996           1995 (1)       1995 (1)
                                              ------------    ------------    ------------
<S>                                           <C>             <C>             <C>        
PRIMARY:

Common stock and common stock equivalents:
    Average common shares outstanding          152,993,389     154,307,918     153,976,502
    Average common shares issuable
      under employee benefit plans                 521,094       2,604,760       3,816,714
                                              ------------    ------------    ------------
         Total average common and common
            equivalent shares outstanding      153,514,483     156,912,678     157,793,216
                                              ============    ============    ============
Earnings:
    Net income                                $      1,029    $        600    $        395
    Less:Preferred stock dividend
         requirements                                   66              54              65
                                              ------------    ------------    ------------
      Earnings applicable to common shares    $        963    $        546    $        330
                                              ============    ============    ============
Primary earnings per share                    $       6.27    $       3.48    $       2.09
                                              ============    ============    ============
FULLY DILUTED:

Common stock and common stock equivalents:
    Average common shares outstanding          152,993,389     154,307,918     153,976,502
    Average common shares issuable
      under employee benefit plans               1,789,532       3,122,650       3,816,714
Common shares issuable upon conversion
      of ESOP preferred stock                    7,461,951       7,557,596       7,617,748
                                              ------------    ------------    ------------
         Total average common and common
            equivalent shares outstanding      162,244,872     164,988,164     165,410,964
                                              ============    ============    ============
Earnings:
    Net income                                $      1,029    $        600    $        395
    Less:Preferred stock dividend
         requirements                                   62              51              62
                                              ------------    ------------    ------------
      Earnings applicable to common shares    $        967    $        549    $        333
                                              ============    ============    ============
Fully diluted earnings per share              $       5.96    $       3.33    $       2.02
                                              ============    ============    ============
</TABLE>

(1) Share and per share amounts for Fiscal 1995 and Fiscal 1994 have been
    retroactively adjusted to give effect for a two-for-one common stock
    split, effected in the form of a 100% stock dividend, which became effective
    on January 26, 1996.