The low density of elephant hair has been demonstrated to help cooling:
Conor L. Myrvhold. What Is the Use of Elephant Hair? PLoS ONE 2012. Open access ··> LINK [doi:10.1371/journal.pone.0047018]
At low densities, hair has almost no effect on air flow and does not trap an insulating air layer near the skin, but the extended hair acts as a pin fin that increases thermal exchanges with the surrounding air. Thus, as the hair density decreases from that of very furry animals, a break-even point is reached where the hair function switches from an insulator to a heat exchanger. This break-even point occurs at a density of about 0.3 million hairs/m2  for thick hair covers with creeping flow in between (recall that 1500 hairs/m2 is about the maximum density of elephants). For comparison, the hair density of the human head is about 2 million hairs/m2 (see Methods and Discussion S1).
These heat dispersal properties were already known for plants (leaf hair, cactus' spines) but it is the first time to be demonstrated for an animal, more specifically a mammal like us.
I searched online for hair density on human body (the question we all have in mind, right?) and I could only find a commercial reference (I'd appreciate a better one if you know one). Still it seems that the hair density on tights and legs (and therefore probably on most of the body) in humans is 50 hairs/cm², what translates as 0.5 million hairs/m², somewhat (but not a lot) above the threshold mentioned above.
I'd dare suspect that this means that human body hair (vellus) is for most people thermally neutral but then I wonder how it works with sweat, which is a key part of our tropical thermo-regulatory natural design. Elephants and plants do not sweat (although they do get wet on occasion), so it may well work somewhat different for them.
That seems to be an interesting challenge to explore.