Copy text files into one seperated by file names

From the windows command prompt it's possible to collect all text files into one file using

copy *.txt all_text_files.txt

Is it possible to add the name of each file added in front of the file in question? In my example I have two text files a & b.

a.txt consists of one line

Cheese

b.txt also consists of one line

 Monkeys

The new file would be:

a.txt
Cheese
b.txt
Monkeys