I think Nintendo is the only company capable of making these match ups in a videogame with the All-Stars of each company,
Agreed.
for one, most companies don´t like to lend their characters to other companies,
I disagree. 3rd party companies have had all kinds of crossovers. Every major 3rd party company has had a crossover in one way or another recently; it's just a fact.
Also, PlayStation All-Stars got like 8 3rd party characters, and everyone and their grandmother knew that game was gonna be what it is (a trashy cash-in).
second it cost a lot of money,
Depends the arrangement. I imagine having a character in Soul Caliber was cheap (sans Link and the Star Wars characters) because it is free promotion. It really is the big names that cost money. Sonic, Mario, Link, Pac-Man... those are the names that cost money.
It also depends on the series. Soul Caliber does an okay job at promoting another series. Not a great job, but good enough to be something of free advertisement. Smash does a fantastic job, because it is just a giant walking advertisement for other franchises. Nearly every smasher I know has gotten into a series because of smash in some way. Meanwhile, having Altair from Assassin's Creeds robe in MGS IV probably did nothing for promoting. Likely neither did various misc. characters from the MvC series playable or as cameo characters.
third why include the competition in your videogame (where Nintendo still competes with these companies, they are hardware company first where they get better results if more companies creates projects for their system),
If Nintendo considers 3rd party companies their "competition", then that, by definition, that makes them a 3rd party company.
If you're not saying that, then you clearly don't understand that Nintendo's CONSOLES are their core business, and their games are used to get you to get their consoles. That's what the console business is all about.
fourth the Pedigree of Smash and its quality is so high that most companies know if they lend their character it will not be misused in any form and five every company knows when Sakurai calls you to get your character in Smash so he/she/it can fight Mario the most Iconic character and most powerful Star of videogames it means you are in the pinnacle of the industry and is honor.
That's also a big boost we're not tapping into: having your characters in smash gets them over with the fans of Nintendo consoles. People never bought a considerably more amount of copies of various Sonic games that were multi-platform until Sonic was in Brawl. Then, the Nintendo console version sold the best or competed despite lower quality.
Plus, Nintendo fans in general seem to love specific series. Mega Man, Metal Gear (because there's nothing really like it), Sonic, Pac-Man, Castlevania, Ninja Gaiden, No More Heroes, The Conduit, Professor Layton, Prince of Persia, Final Fantasy, Dragon Quest Chrono, Bayonetta, The Wonderful 101, Mana, SMT, Street Fighter, Streets of Rage, Okami, Viewtiful Joe, Shadow of the Colossus, Soul Calibur, Tekken, Ratchet & Clank, Crash, Spyro/Skylanders, Tetris, and Tales are all probably some of these series that interest people.
If you want "horror" look up TMNT Smash! All of the secret characters are Rayman Rabids. I'm not kidding. It makes Pichu in Melee look like the best idea ever.
Imagine a game where Nintendo, Sega, Capcom, Konami, Namco-Bandai, Tecmo - Koei and Square-Enix are together with their respective stars, it will mean the dream of many people and only Nintendo could provide that experience.
Oh man, the idea of Sonic, Mega Man, Ryu (Street Fighter), Snake, Simon Belmont, Pac-Man, Nightmare/Siegfried, Heihachi Mishima, Ryu Hayabusa, Crono, Black Mage, and Slime all in one game plus the Nintendo All-Stars already in smash would be other worldly. It would put M.U.G.E.N. to shame in every way possible.