Consider the double-factor model given by r_i = E(r_i) + beta_im + tamma_i n + e_i. Where r_i is the return on firm i's equity, m and n are macroeconomic factors common to all securities that measure unanticipated macroeconomic surprises. In contrast, e_i measures only firm-specific surprises. It is assumed to be uncorrelated with the macroeconomic factors m and n and uncorrelated across firms. Finally, beta_i and gamma_i simply measure the sensitivity of returns to macroeconomic factors m and n respectively. Derive mi expression for the variance of r_i. Derive an expression for the covariance between the returns of two different firms i and j