Funnily enough, myself and Babsann were having this exact conversation last night!
There has never been a clinical study that I'm aware of, but several respected electrolysis texts claim that any hair removal method which "plucks" the hair from its the root (i.e. waxing, sugaring, threading or tweezing) will cause irritation and potential damage to the follicle - this in turn stimulates an increase in blood supply, which of course carries hormones that stimulate hair growth. In addition, if any damage is caused to the follicle, it is believed that it will rebuild itself a little sturdier with a more developed capillary system each time. Eventually, these two factors
may result in the vellus hair becoming terminal hair.
Bear in mind, however, that even if this is indeed the case we're talking about a loooong period of time here - the occasional tweeze or wax isn't going to turn anyone into a gorilla overnight!
I believe it's more of an issue for facial hair due to its visibility and an increased sensitivity in this area to hormonal changes (not sure how true that is), and for this reason some technicians recommend electrolysis or IPL rather than starting down the road of waxing. Opinion on that remains divided amongst hair removal technicians, however.
And having said all that, hormonal changes in the body due to age or medication, illness, etc. may well have the same result without any intervention from the wax strip. How much is due to stimulation from plucking/waxing, and how much is down to natural hormonal changes or other causes? Wish I knew the answer, lol, it kept me awake most of last night looking for information!!
Andy x