I don’t have much to add to the discussion on if or why, but I thought it might be helpful to point out that the last (or first) six feet connecting your equipment to your wall is braided cable (by code) for flexibility while the wire in your wall is solid core. The braided cable has different properties regarding inductance, capacitance and impedance (though that difference must be very small indeed) and all wires act as an antenna of sorts, both broadcasting and receiving.
Does this make an audible difference? While I have found that they do, the affect (to my ears in my system) was not nearly as substantial as other cables. And I didn’t find any difference in modestly priced cables to stock. Worth the spend? To some yes. To many, I would say no.

