As Bookworm says - it depends on what the controller says.
If the phrase " go around I say again go around " then follow the published missed approach, unless given other go around instructions.
If the phrase used is " breaking you off the approach " it should be followed by instructions.
The place I work at has the missed approach starting at 4d, so outwith 4d you would be broken off and inside given the standard missed approach ie go around - no matter who you were speaking to
louby