From Motley Fool:
The investing axiom “Invest in What You Know” is attributed to famed investor Peter Lynch. During his stint as portfolio manager of Fidelity Magellan Fund between 1977 and 1990, the fund posted an annualized return of 29%, beating the market by an astounding 13.4% per year.
It’s easy to understand why investors would feel more comfortable investing in their home markets. A greater familiarity with the companies and products in their home country would provide a greater feeling that they are investing in what they know.