In the video, Icahn also warns about potential problems caused by tax loopholes, stock buybacks and liquidity in the high-yield bond market. Amid his concerns, Icahn said he has hedged his investments much more.
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Icahn stressed, though, that a collapse similar to the one that took place in 2008 seems unlikely.
The billionaire investor has often touted tech giant Apple and criticized the high-yield debt market, which he has long and short interests, respectively. He reiterated previous statements that Wall Street does not fully appreciate Apple and he has considered buying more of the stock.
"I think Apple is still ridiculously underpriced," Icahn said Wednesday.
Icahn also responded to criticism that his dire warnings could benefit his investment positions. He contended that his statements do not always move the markets he discusses.
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Despite his pessimistic outlook, Icahn recently raised his stake in battered natural gas company Cheniere Energy to 11.43 percent. He also built up a huge position in crushed mining company, Freeport-McMoRan.
Icahn said buying the stocks at a cheap price provides chances for long-term upside.
"These are great opportunities I think. But here you have to be extremely careful if you're the average investor," he said.
He added that people are "right to expect" that he would push Freeport for structural changes.
Freeport and Cheniere shares had fallen 60 and 31 percent this year, respectively, as of Tuesday's close.
He also touched on Chesapeake Energy, another embattled oil and gas producer that announced Tuesday it would cut 15 percent of its workforce. Icahn, who owns Chesapeake shares, said he did not advocate the move but said it was a symptom of the industry right now.
— CNBC's Scott Wapner contributed to this report