We develop a portfolio balance model to study the effects of Quantitative Easing (QE) on international financial asset returns through the portfolio balance channel. Our two-country model features heterogeneity in assets and investor preferences. Both are crucial for a meaningful model-based impact assessment of QE. Preferences for asset maturity, asset class (bonds, equities and currencies) and whether an asset is issued at home or abroad influence the substitutability of assets, which drives the portfolio balance effect of central bank asset purchases. We calibrate the two countries in our model to the euro area and a representative sample of rest-of-the-world countries in order to estimate the international impact of the ECB's asset purchase program announced in January 2015. When simulating our model, we find that central bank asset purchases decrease domestic yields and slightly increase foreign yields. While the effects of QE on domestic yields and the exchange rate are rather modest and smaller than commonly assumed in the literature, domestic stock prices increase substantially.