Most of the difference comes down to the speaker cabinet engineering. Remove any speaker from it’s enclosure and it will sound very different and usually not good even expensive ones. Engineers use different shapes and materials to move the sound waves in intentional ways so that they sound good by the time they reach the ears. There’s quite a complicated science to it and all sorts of different ideas, which is why there are so many different speaker designs- even just 2 plain rectangular box lookin speakers can be set up completely differently inside with different size/angle of baffles and different style/placement of ports and different array/placement of speakers. Other people already mentioned the cone materials and magnet quality. There’s also the electronics to consider, speakers will often have a crossover built in that send incoming audio signals above a certain frequency to the tweeters and below a certain frequency to the woofers. The quality of the components and design of the circuit has a big impact on what you’re hearing. Expensive speakers are designed by someone who went to school for this and spent decades designing speakers, they use the parts and materials that they think will best accomplish the sound they’re after.
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