Take a look at: UNCATD's World Investment Report
Search:
World DataBank
Go to FDI.net for FDI in 175 countries.
Passport provides annual FDI data dating back to 1977 (inflows, outflows, inward/outward stocks and FDI Intensity) for over 200 countries (data will vary from country to country). Hover over "Economies" on the teal navigation bar, then click "economy, finance, & trade." Find the “Search Statistics” box on the left side of the next page, and select "foreign direct investment (FDI)" within it.
Go to OECD iLibrary and search for 'International Direct Investment' in the Advanced Search box to the top of the webpage.
Also go to World Resources Institute
Look at the magazine FDI - Foreign Direct Investment (Find this journal in E-Journals Finder).