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This filter is used by wp_trim_excerpt() function. By default it is set to echo '[…]' more string at the end of the excerpt.
To change excerpt more string, add the following code to functions.php file in your theme:
function custom_excerpt_more( $more ) {
return '[.....]';
}
add_filter( 'excerpt_more', 'custom_excerpt_more' );
For versions older than 2.9 use:
function custom_excerpt_more( $excerpt ) {
return str_replace( '[…]', '...', $excerpt );
}
add_filter( 'wp_trim_excerpt', 'custom_excerpt_more' );
wp_trim_excerpt() is located in wp-includes/formatting.php.