Just curious to know - why does a baby's first head of hair fall out?

Just like mummies, because of the drop of level of pregnancy hormones, babies also lose their hair. It is not permanent, and babies will gradually grow their hair back (phew!). For my son, he doesn't have a full head of hair to begin with but already I see bald patches of hair at the back of his head. Like what Hui Qun mentioned, it may take up to 3 years for babies to grow a full set of hair so don't worry to put of it. Some older folks swear by the use of coconut oil so perhaps you could try that as well.