Is there a real difference between golf balls?

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You have to use not only the same type of ball, but the exact same ball for the duration of a hole. After the hole, you can switch to a new ball, but I don't know whether it has to be the same type or not.

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Whats the penalty for switching balls? Is it a storke or is the round forfeited? I know there would be no reson, just curious.