What makes a speaker sound great at low volume?

There are many variables, starting with cables .
since I upgraded to the Verastarr cable line I feel that using far less dielectric material ,as well as metal purity and Cryo treatment 
all add up to a cleaner presentation .
that is just one example , the amplifier, preamplifier quality 
are seperate factors  ,that being said yourcable s carry your signal.
your sourse record, or digital is where the Whole ball game starts 
once that signal leaves it cannot bemadeupdown stream .
sice by far your Loudspeaker gives the most distortions in a 
factor in % , 1-2-3 or more vs.001 for a amplifier on average a good one from 20hzto 20,000khz. Quality counts even more so 
And complexity of the Xover , speakers sensitivity , and the ability 
ofthe Amplifierto drive properly and have dynamic head room leftover for when you hit dynamic peaks they are not compressed 
on peaks demands can call on 10x thst then on a soft paggage 
allways buy bigger Quality power then you need  to ensure 
ultimate fidelity. There are many other factors I didnot even get to 
such as keeping all connections ,including power cordsclean.
the recordings the self will dictate what you hear.Room sound
absorption,isolation underequipment ,including a qualitystand. The room can have a lot to do with what you hear.
proper speaker setup. On the Cardas cable website they have a good setup guide line. Myself having owned a Audio store in Europe learned a lot about how to get many systems to sound far better then systems 3x the cost just by following all these guide lines.as thesaying goes ,yoursystem isonly as strong as its weakest link  !!  Enjoy Your music !!

I’d combine chayro’s (first reply of the thread) and dweller’s posts.

If you are really stuck with very low, middle of the night kind, volumes, "loudness" switch may surprise you. dweller says McIntosh and there are a few more, depending on your budget. Luxman, Accuphase (I am almost certain, but check it). Yamaha also has one although that one, in my experience, is not as good. It works in a different way. If you get intrigued about the "loudness" switch, there is a thread on Audiogon that has a few descriptions of it. https://forum.audiogon.com/discussions/how-loud-is-too-loud

Now, you asked about speakers and a few of us are throwing amplifiers at you. Sorry.

Good luck, listen low.

No crossover. Tube amp directly driving the woofer...

Lots of things. My speakers aren’t the most effecient and require a big amp. My system sounds very good at low volumes which is how I do most most of my listening. I’ve done some tweaking to lower the noise floor which is what I think has worked for me. Start with clean power, dedicated circuits, quality receptacles, quality cables, and cable placement. Nice rigid equipment stand, isolation devices between your components and shelves. I think it’s getting rid of the noise to start with. Speaker placement, your listening position and room treatment also play a big part. Guess I’m saying it’s not just looking at a pair of ultra efficient speakers because it can be done with not so effecient speakers as well. It takes time, experimenting and not being afraid of tweaks, such as fuses and etc.