From Bleeding Cool:
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Norton asked “Is there a good reason for why he goes bald or is it really dull?
McAvoy replied “He ends up going through something so horrible and painful that he literally half pulls his hair out half… it falls out” to winces from Graham and the audience. “Maybe or maybe not”
Asked if he should have told the audience that he admitted: “I just sh-t myself because I know, Fox Studios who own me might be angry with me for sharing that.”