In the current environment, I would expect to see capital going south across the border with Mexico, drawn by the high returns available due to the large amount of low-wage labor. But that's not what we are seeing. We are seeing the labor cross the border--at considerable personal cost--to take the low-wage jobs and then send remittances back to Mexico.
In many ways this is much more natural. I think a lot of economists are still look at world through the lens of Solow Convergence. They believe that low wage countries countries will naturally grow faster than high wage countries because capital earns a higher return. Yet, this leaves open entirely the question of why some countries are low wage to begin with.
Shouldn't we expect that low wage countries are low wage for a reason? That for some reason technology is not employed, capital is accumulated or education is retarded. A priori, I don't think there is any reason to presume that investment will earn a higher return in low wage countries than in high wage countries.