Most of this information is in the public domain, and it should be fairly easy to collect for most markets. In many countries there is a legal obligation to file this kind of information. In most of Europe, for example, annual sales and number of employees can be found in the company accounts of all but the smallest businesses. In the US, public companies file similar data via the SEC and this data is freely available at the SEC web site (http://www.sec.gov). Even where such information is not available from company registries (for example Companies House, in the UK), company information agencies such as Dun & Bradstreet usually obtain such data as part of their overall business reporting operations. Thus D&B reports typically include year established, number of employees, annual sales over 3 years (allowing you to get a growth rate) and more.

Market share information will need to be calculated using knowledge of the total sales of all your competitors – although there are frequently detailed market and industry reports available which include estimates of total market size. From this, the market share of any individual company can often be estimated. Such reports are held in the major business libraries and can usually be purchased online from the producer. It is also possible to download selected parts from host database companies such as Factiva, Lexis-Nexis or Dialog.

The only questionable information is budget information - which may be internal to the company and not readily available. (I'm assuming you mean internal departmental budgets or purchasing/investment budgets). It is, however, sometimes possible to assess investment budgets by identifying purchases and investments over a fixed period using details held in the cash flow statements and balance sheets filed in the publicly available sources.