Not exactly, price increases with some certifications and branding. In the high end of purifiers, they can handle much smaller particulates and gasses (e.g. carbon matter measured by dozens of lbs with replacement filters costing hundreds). The most effective filters for general use will have higher CFM. CFM also decreases with smaller particulate filtering. Unless you're spending ~$1k+, most activated be carbon seems to wear out faster than it's worth considering.

Overall, yes, a cheap box filter (placed specifically in the bedroom, if limited to one room) is often the most effective.