Based on our forecasting model, by how much would that information change our previous forecasts of future dividends, interest rates, and risk premiums? The answer to this question clarifies the channel by which monetary policy affects stock prices.
If we were to find, for example, that the news of an unexpected increase in the funds rate significantly changed the forecast of future dividends but did not much affect the forecasts of interest rates or risk premiums, then we could conclude that monetary policy affects stock prices primarily by affecting investor expectations of future dividends.