Two brief comments:
1. Talk of "hearing" and "reality" should be tempered with the reminder that (as wavoman knows very well), there's no direct, unproblematic relationship between perceptual experience (e.g., hearing) and external physical reality (e.g., physical properties of an audio signal). There's a sense in which it's irrelevant whether an alleged improvement in SQ is detectable in the electrical signal or the vibrations in the medium (usually air, unless you're listening underwater....), so long as it's perceivable by the hearer. Of course, problems pop up when we start making recommendations based on such perceptions.
2. There's some discussion on the relationship between the placebo effect and expenditure. The literature on cognitive dissonance suggests that there should be a positive correlation here. However, and perhaps more interestingly, it also suggests that the act of defending (say) an improvement in SQ as a result of cable change should produce "placebo" effects too.
My quick search in the usual places didn't turn up anything directly related to the placebo effect among audiophiles (though I wouldn't mind running a study like this, really), though here's an interesting article:
Perlman, M. (2004). Golder ears and meter readers. Social Studies of Science, Vol. 34, No. 5, 783-807.
P.S.: The social psychological literature is chock full of examples of expectancy (or other "placebo-type" effects) on appreciation of consumer products. Off the top of my head, there's the exp. which showed that the wine labeled as more expensive was consistently perceived as tasting better, and Dougherty & Shanteau's (1999) study on several different products (of different sensory modalities). Actually, that's a good paper to read. Here's a reference:
Dougherty, M. R. P., & Shanteau, J. (1999). Averaging expectancies and perceptual experiences in the assessment of quality. Acta Psychologica, 10(1), 59-67.