Being a player myself, I have always wondered about this, but never really spoke to my DM about it.
In our campaign, it would not be feasible to do such a thing. We have a party of very "individualistic" characters and we tend to go adventuring almost non-stop. One adventure after another. Whenever an adventure hook is dangled in front of us, we always bite. Since the characters are "individualistic" as well, I could hardly see them waiting around while another character tried to setup their business. In addition, it may be seen as hindrance to the party more than an advantage.
However, don't ge me wrong. I would love to be able to setup my own business/intelligence network, and micro-manage everything, from the design of the building, to hiring staff and followers. I would probably even work with my DM to create adventures that could revolve around my business/int network, like protecting it from being robbed, invaded, taken over, etc. or hunting for followers, or finding magical raw materials to make the building etc.
The thing is, the above would probably be centered around my character and would be hard to do with an entire adventuring group, who all want to do different things. The above my be possible in a solo-campaign, but next to impossible in a group-campaign, unless the entire party agrees to doing such a thing.
Still, I wouldn't mind having a business/spy network in my campaign. Maybe I will speak to my DM about it after all.