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There are different methodologies to detect a change in the market efficiency, both in the market and firm-specific cases. In the FIRM-SPECIFIC case, the most common procedure is the event study methodology; you can find how to construct an event-study case explained in Kothari & Warner (2006), who collected all the event study methodology implemented ...


You have started a huge job, an enormous number of anomalies have been reported. The web site quantpedia.com has a list, here for example is their writeup on momentum effect in stocks


The best overview I have seen so far is this paper which lists 214 (!) factors (or anomalies if you like) on over one hundred (!) pages: …and the Cross-Section of Expected Returns by Harvey, C. et al., Feb. 2015: Abstract: Hundreds of papers and hundreds of factors attempt to explain the cross-section of expected returns. Given this extensive ...

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