Format dates in Excel to Word Mail Merge

I have the need to make a calendar and want to merge the dates to a MS Word document I have created. I have put the dates in Excel in the format 01/01/2004, 01/02/2004, 01/03/2004…. and concantenated them for the whole year in Excel. I then used the Format>Cells>Date menu to format it as Thursday, January 1, 2004. However, when I transfer it to Word in Mail Merge is will only transfer the date 01/01/2004. How can I change the formating?