The default Walker menu does not include a class attribute on the anchor (<a>) element, but one can easily be added using this filter.

function add_class_to_all_menu_anchors( $atts ) {
	$atts['class'] = 'menu-item-anchor';

    return $atts;
}
add_filter( 'nav_menu_link_attributes', 'add_class_to_all_menu_anchors', 10 );

You might notice there that I am only passing one parameter ($atts) to the function. This is because we only need the $atts in this case and there is no need to pass other parameters. Alternatively, let’s say we wanted to add a class to all anchors which are not top level:

function add_class_to_non_top_level_menu_anchors( $atts, $item, $args, $depth ) {
	if ( 0 !== $depth ) {
		$atts['class'] = 'menu-item-anchor-non-top';
	}

	return $atts;
}
add_filter( 'nav_menu_link_attributes', 'add_class_to_non_top_level_menu_anchors', 10, 4 );

In this case, we need to pass all four parameters because we are using the $depth parameter.