Cayenne pepper is well known for improving circulation so therefore when it is massaged into your scalp it will get more nutrients to the hair follicles, resulting in faster hair growth!
Here is what others have said about Cayenne pepper for hair growth:
'It works!!! It's ironic how this thread was bumped b/c I was going to post a new thread today. I have been doing it for 2 months now. There is major growth. I can kick myself because when I read this post I didn't believe it would work.' -http://www.longhaircareforum.com/forums/showthread.php?t=44710&page=8
'Vodka and cayenne remedy for loss - mix one jigger of vodka with a 1/2 teaspoon of cayenne pepper (test on skin first for sensitivity) and rub it on the scalp; blood rushes to the hair follicles stimulated by the vodka and cayenne pepper - be careful if you try it.' -http://www.articlefriendly.net/Art/13858/82/Hair-Loss-Remedies-Get-Informed-Now.html
Be careful some Cayenne pepper is hotter than others and please please don't get it in your eyes! Mine is quite mild, I mix it with Coconut oil (which also benefits hair growth and strengthens hair) so it is kind of like a paste then I massage it into my scalp and leave on for as long as desired :)