Could you explain more about what you need the data for? I'm not aware of any pre-built data sets, but you could attempt to construct your own. You'll need to break the problem into two parts though.
The easiest route to identifying the entities is the OpenCalais API, which despite its name is a closed-source service, but has generous usage limits. You can also look at the American National Corpus, which contains a large number of automatically-tagged entities in an open data set.
You'll then separately need to figure out the sentiment associated with each entity, which is still an AI-complete problem to do totally accurately, especially in an example like yours where it would require understanding the meaning of the sentence. Most sentiment analysis techniques look at the frequency of particular words or small sequences of words, you can find a good overview of the algorithms here, along with some datasets matching words with their sentiment.