First what I found about inflammation.
This happened to me!
And there is solid scientific evidence.
There is ample evidence for this seen in the control arms of drug trials.
Those getting the dummy drug will get the same side effects as those in the intervention arm getting a chemotherapy drug, i.e., their hair falls out but for different reasons.
Those getting the toxic drug get the rapidly dividing cells at the roots of their hair damaged so their hair falls out.
Of those getting the dummy drugs, who hold a belief that they are getting the real drug (typically between 20-80%) will also believe that they will suffer damage to the roots of their hair. So their body sets forth an inflammatory response to clear the damage. But of course their cells are healthy and get damaged by the inflammatory response, so their hair falls out.